It's a natual transition to want to learn multiple arts as you progress. At the moment I study Goju, BJJ, and Iaido. The BJJ is incorported into our school but the Iaido practice is an hour away. I practice the Iaido a lot by myself but still one need a Sensei for all the little corrections and fine details. Nothing wrong with multiple arts "so long as you hold one as your core/main art". The other arts should only be part time and not flaunted at your regular dojo, your Sensei will freak if you start doing some weird kata in his me.