Two options.
In Submit options set the dropdown to use rules.
Then add a rule action for each submit data connection.
This would submit to all sites every time.
Probably what you need if you want each button to go to its own location.
Switch the dropdown in button properties from Submit to Rules
Then add a submit action which submits to the indivdual DC you want.

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Clay Fox / Microsoft InfoPath MVP
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> I am trying to make multiple buttons that save the file to different
> Sharepoint sites. but every time I change the data connection it changes all
> the buttons. i created each button seperately and didn't just copy and paste
> the buttons.