If all your graphics cards are in SLI together, you can run GPU PhysX as well, but it will run on the primary card in the SLI array. There is nothing you can do to change this at present. Games that use PhysX heavily (Batman and Cryostasis) can suffer from performance degradation if PhysX is running on the primary SLI card.
If your motherboard has 3 PCI-E slots, you can run 2 cards in SLI and one separately for PhysX, but the dedicated PhysX card must be of a different model to the SLI cards. If it is the same, you will only be permitted to enable Tri-SLI and then PhysX will run on the primary card.
So, with SLI GTS250s, you could use, say, a 9800GT in the third slot for PhysX.
I would suggest that you swap the cards around and run the OC'd card in the primary slot and then just experiment with the PhysX settings on each game that it makes any difference in until you get a result that your happy with.