Yes. As soon as you enter the interrupt service routine, you check the interrupt flags that you are expecting (the ones you turned on) and service the one that triggered.

Are you using PicBasic, or PicBasic Pro? If the latter, while I haven't personally used DT's Ints, I would advise you go for it. It's all scripted so you don't do any asm coding yourself. It was designed just for PBP, and isn't difficult to implement, from what I've seen. You'll get the best response time with the least headache.