In Google-lingo this is called canonicalization. What a bizarre word–computer science anyone!? If you're interested in learning more about this there's a great post on it by Matt Cutts, a software engineer and head of Google's Webspam team.

Basically, the idea is that you want to use a 301 redirect to point traffic to the primary domain otherwise search engines, and in particular Google, may treat the various domains as separate and unrelated. Using a 301 will help train search bots to prioritize the primary domain as your preferred domain.

A rich link-bank profile will help to significantly improve your SEO results, so you want to make sure all those link backs are going to your primary domain. 

Happy SEOing!