I had some plum extra fine merino and some red cashmere/merino/sparkle, from same, all of them very fine and soft yarns.
I plied about a yard of all three together but stopped the wheel, thinking, when that becomes six? No. Too thick. Pulled that off and started over. Sherry’s with the red, one bobbin, the plum with the red, second bobbin, then ply those two together.
Yeah, I like that. I like that a lot. And yes, you don’t have to have a wheel, you can just knit from any number of cones straight up–but a single ball of yarn at a time is simply a lot more portable than three cones of delicate snaggableness.