I think that the best way to think of it is that all the players together are telling a saga about the covenant. There are a number of characters who live in the covenant. Some of the characters are main characters. That is, these are the magi and perhaps the companion characters. Each player controls one or two main characters. There are also a number of minor pool characters that generally don't really belong to any particular player (that is, generally the grogs).
Next, think of the whole saga as being like a TV series (something like Buffy, or Star Trek, or True Blood, or even The Simpsons or whatever it is that the young kids watch on telly today). Each session or story is like an episode of that series. A given episode focuses on only one or two main characters. The others are there, but are only really peripheral to that episode. If your main character is central to a particular session, then that is what you play. If your main character is not central to a particular session, then you mostly play one (or more) of the minor characters that are required for that episode. Maybe taking the odd break to play your main character if she walks into the story to contribute to part of a scene.
Then, as a troupe you just have to manage things so that you are not always having episodes about the same main characters. The idea is that everyone gets a chance to play their main characters. This is much the same way that the director/script writer (or whatever) of a TV series has to arrange things so that the main characters get their fair share of episodes.
One of the best ways to set yourself up to manage this, I think, is for each player to make up a magus character, and the companion character that fits with another player's magus, and a bunch of grogs that generally go with the remaining players' magi. That way, as a troupe you sort of end up with four or five "families" of characters. It is then natural to for each "episode" in your saga to be about one of the "families" of characters, and every player has a role to play and no-player ends up needing to role-play a conversation between two of his own characters. Of course, you might sometimes mix things up, and have an "episode" that involves several "families", or (say) just the magi from each "family" or whatever. But at least with the "families" you have a starting point.