Disclaimer: I do all my tabletop gaming over IRC, so my methods may not apply to in-person gaming.
I try not to do it very often, but when it does happen, how I handle it depends on the size of the groups.
If it's one character going off on their own while the bulk of the party goes somewhere else, I'll usually follow the main party, and confer with the other person in an IM as to what they're doing. Alternatively, if the one person's miniquest is really really interesting and plot important, they get the spotlight alone for a little while.
If it's fairly even, I try to alternate it scene by scene, and move it along as quickly as I can.
Once, I had both parties get into separate conflicts simultaneously, and alternated round by round, which I think made for a pretty neat action scene.