We investigate a semi-continuity property for stability conditions for sheaves that is important for the problem of variation of the moduli spaces as the stability condition changes. We place this in the context of a notion of stability previously considered by the authors, called multi-Gieseker-stability, that generalises the classical notion of Gieseker-stability to allow for several polarisations. As such we are able to prove that on smooth threefolds certain moduli spaces of Gieseker-stable sheaves are related by a finite number of Thaddeus-flips (that is flips arising for Variation of Geometric Invariant Theory) whose intermediate spaces are themselves moduli spaces of sheaves.