How do most programs you use gather this information? Try to emulate those programs. Most don't have frames swapping with each other. Some have swapping panels (think CardLayout). Some use tabbed panels (think JTabbedPane), some use modal dialogs (think JOptionPane or JDialog).
I personally feel JTabbedPane is not an intuitive component to gather multiple input from the user. YMMV.
Card layouts will help you with Wizard king of UI.
JOptionPane has built in showInputDialog which can be heavily customized. I would prefer it over JDialog as it saves me the hassle of creating and controlling the dialog.