Well, you can freely use
\setCJKfamilyfont to define as many fonts as you need. And you can use
\CJKfamily to change the font. This is quite similar to the way you have used.
On the other hand, current
xeCJK does not have the ability to define different fonts for Chinese, Japanese and Korean individually. In fact, the three languages shares a lot of characters, and it is impossilbe to distinguish which language it is automatically.
An alternative solution is, use
fallback option of
xeCJK to define a main font (for Chinese & Japanese) and its fallback font (for Korean). For example,
% Fonts available on windows
However, for serious typesetting, the result using
fallback font option is questionable. Some glyphs looks quite different among the three countries. A glyph in a Chinese font may be wrong in Korean or Japanese, and vice versa. Thus, a proper way is still change the font manually: