The simplest and most energy efficient solution would be to use a 3 position rotary or toggle switch. Then you would not need the LEDs to indicate which speaker was on and you would not have to set it each time you turn the power on.
However, if you want the momentary push button solution, see the attachment. I have not specified the relays, supply voltage or resistor values. You should choose the relays to suit whatever supply voltage you intend to use. If you need assistance to calculate the resistor values, send me a PM with the relay data and the supply voltage. I'll need the relay operate and release voltages (or currents) and the coil resistance.
Circuit description
When the power is turned on, relays R1 & R2 are released, LED0 is glowing and the amps are connected to speakers 0L & 0R.
If B1 is pressed, R1 operates and, when B1 is released, R1 holds via LED1. The contacts of R1 connect the amp to speakers 1L & 1R.
If B2 is pressed, R2 operates and opens the hold circuit of R1 (the diode across the coil limits the back EMF when the circuit is opened). R1 releases and, when B2 is released, R2 holds via LED2. The contacts of R2 connect the amp to speakers 2L & 2R.
If B1 is pressed again, R1 operates and R2 releases. When B1 is released, R1 holds via LED1.
If B3 is pressed when either R1 or R2 is operated, R1 or R2 is released, LED0 glows and the amp is connected to speakers 0L & 0R.
Note that the amp outputs cannot be connected to 2 speakers in parallel since the arrangement of the relay contacts ensures that only one pair of speakers can be connected to the amp outputs at one time.