you can do that easily if you want them all to dim at the same rate using the PICs PWM going into the gate of a seperate FET with its drain tied to all the fets, sources. and its source to ground, this adds a ~.5v voltage drop but you can compensate by adjusting your pots.

I did this on a guys truck, he wanted 2 sets of floorboard lights, operated from a single pushbutton, but he also wanted to control their brightness, it was easy enought to set a 2 bit binary output to 2 FETS, and have them tied to a 3rd FET that was drivin by the PWM pin. and I just used a POT to set the PWM, and a button to select the lights (left, right, both, off).