We've never had a problem with it. Our dog is dumber than dirt, and doesn't realize that the cats are any different than him. This is, of course, a problem when he tries to play with them and just doesn't comprehend how big he is. But the cats get along well with the dog, and the dog gets along well with the cats. They'll play and wrestle together until the big dumb brute lays down on a cat and gets smacked in the face, but 10 minutes later they're best friends again.
Our success was a combination of a completely retarded dog and all the animals being acquired within a few weeks of each other and brought into their new environments together. It was a system shock for all of them, and none had a chance to get territorial about "their house" before the newbie arrived.