Since there was mandatory tax withholding, it's apparent that these check have been made payable to you. As such you have constructive receipt of the money, so It doesn't matter what you do with the money as long as you complete the rollovers by the rollovers by the 60-day deadline.
Note that if you roll over less that the full amount of the portion distributed from the designated Roth account in the 401(k), the first amount of that rolled over is considered to be the otherwise taxable portion (the portion on which 20% was withheld for taxes, about 5% of the gross amount distributed from the Roth account.)
Depositing the checks into your checking account and then completing the rollovers from there is probably the most straightforward approach, Even if you deposit these checks directly into the respective IRAs, to make up the amount withheld for taxes you would still have to write at least one additional check, possibly two. It would be simplest for the IRA custodian to deal with only two checks instead of four. It also would tend to reduce the possibility for one of the deposits to be made into the wrong account, something that can be extremely difficult to correct.
