You can't use 3 8600GT's in SLI,you only can use 2.
The only cards that support 3-way SLI are 8800GTX,9800GTX,and GTX 4xxx series.
However,even if you could,I wouldn't have recommended it because 3-way SLI doesn't scale as good as 2-way SLI,so in most games the difference between them isn't much.