Let me tell you how a typical play session of mine goes: Usually I first log on those of my World of Warcraft characters with a daily cooldown, like the alchemist transforming a rare gem into an epic gem once a day. Send the epic gem to my jewel crafter, who not only cuts the gem and sends it on to the bank alt, but also does his daily jewelcrafting quest, to get the tokens to buy new recipes. Then comes the general bank alt, followed by the glyph bank alt. The glyph bank alt can take up to one hour, as even with addons, getting 1,000 mails with either sold or expired glyph auctions from the mailbox and reposting those that expired will take a while. Then comes the inscription alt, who will now buy herbs, mill them to pigments, make inks, and then make those glyphs which sold out.
As several of these characters are guilded, and I'm watching guild chat, it is possible that I join a guild group doing some heroic dungeon or other activity. If not, I'll play one of my leveling alts, for example my paladin. But I'm usually just playing him an hour or two, and never past his rest xp. On other days I play other games instead of leveling a character, for example Dragon Age at the moment. Again I'm just playing an hour or two, finishing one chapter or section and then stop.
As you can see, I'm playing a *lot* of different characters and sometimes even different games in the same play session. The direct result of that is that I'm leveling quite slowly. I started that paladin when Cataclysm was announced, and today I'm only level 41. Measured in "level per week" that is rather slow, although I'm probably not faring that badly in "level per hour /played", given that I'm always on double xp from resting. My level capped characters are also developing either slowly or not at all. My "raiding" priest is only used as jewelcrafter or for helping out a guild group as healer, but as I don't raid for the moment he's not likely to get much in gear upgrades. In Dragon Age I'm also advancing quite slowly, I only reached Denerim this weekend, being less than 20% through the game (not counting having tried several starting "Origins").
Now I know that some people play games, especially MMORPG, to *arrive* somewhere. Some people even say that leveling a character in World of Warcraft is just a tedious obstacle towards the true goal of having a level capped character for the "true" game of raiding. If somebody who thinks like that looks at the way I play, he'd probably tell me that I'm playing it wrong. By dispersing myself among different characters and even games I'm not progressing very fast or very far with any character. But, as so often, the "you're playing it wrong" comments are based on a faulty assumption of us all having the same goal. But I'm not standing here scratching my head and wondering why my pally levels so slowly, and what I'm doing wrong. Rather I'd say that I'm playing it perfectly right, only my goals are diametrically opposed to the goals of the achievers.
Basically I'm working 8 to 5 every day, and when I come home I play games to relax. My goal is maximum entertainment, preferably with not too much stress and effort. My periods of low raiding activity for example coincide with my periods of higher job stress. As I put a strong priority on real life over virtual life, I'm rather reducing my game progress when I need my energy for my job, or my family, instead of the other way round. Playing a lot of different things in one play session for me has a higher entertainment value, as doing the same thing for several hours tends to bore me. Thus splitting my time up between different characters is perfectly rational and wanted. I actually enjoy the leveling game, in many cases more than the end game. And playing different areas of the game, leveling different characters, trying different tradeskills, and exploring different activities from playing the auction house to running low-level dungeons brings the spice of variety to my gaming sessions.
Now I'm certainly not telling the people with different goals that it is them who are playing it wrong. Yes, I sometimes wonder why people try to "win" a game which by definition is unwinnable, spending a lot of effort on getting gear which the next expansion will make obsolete. But I just assume that this is what is most fun to *them*. For me a MMORPG is not just *one* game, with a defined set of rules and a victory condition; for me a MMORPG is *many* games, and even has some aspects which are more correctly described as "toy" than as "game". So just as there is no way to play LEGO wrong, you can't really play World of Warcraft wrong either. As long as your activities are in line with your personal goals, you are playing it right.