Sashes (or Orders) have all sorts of rules attached to them. First of all, you have to be granted one. They are generally speaking to do with historic orders of chivalry or country honours. Many of them have a cap on living members. For instance, the Order of the Garter (UK) and the Order of the Elephant (Denmark) have set numbers. They are usually granted to the most senior members of the royal family (and foreign royal families.) However, if the order is maxed out, then the monarch can not grant a new order until somebody dies.
The sashes also come with other regalia. The stars that you see men wear on their chests, and women under their breasts go with the sashes. Sometimes, you'll see several stars, but only one sash. They wear the sash of the most senior order and the stars from the others. For instance, Prince Charles usually wears the dark blue Order of the Garter sash, but he will wear the stars of the Orders of the Garter, Bath and Thistle. Many sashes also include a fob that hangs on the bottom of the sash, this is another way to tell them apart. The light blue sash that Queen Anne-Marie wears is the Order of the Elephant, and has an elephant as a fob. Prince Nikolaos' light blue sash (worn over the other shoulder) has a different fob. For very special occasions, there are quite often chains that are worn from shoulder to shoulder, draping in the front and back.
I know that the official site of the British monarchy lists what orders each member of the family has. I would assume that many others do as well.