What's the best way to get and use frequent flier miles?

My wife is from South Africa and we have traveled there a few times now and look to go back frequently. I didn't bother with FFmiles and used expedia to get the lowest price, but this used two seperate airlines (New Zealand Air & SA Air). At this point should I stick with just one airlines? (New Zealand Air was quite nice). What's the smart thing to do?!