We introduce a notion of stability for sheaves with respect to several
polarisations that generalises the usual notion of Gieseker-stability. We
prove, under a boundedness assumption, which we show to hold on threefolds or
for rank two sheaves on base manifolds of arbitrary dimension, that semistable
sheaves have a projective coarse moduli space that depends on a natural
stability parameter. We then give two applications of this machinery. First, we
show that given a real ample class $\omega \in N^1(X)_\mathbb{R}$ on a smooth
projective threefold $X$ there exists a projective moduli space of sheaves that
are Gieseker-semistable with respect to $\omega$. Second, we prove that given
any two ample line bundles on $X$ the corresponding Gieseker moduli spaces are
related by Thaddeus-flips.Comment: 51 pages; v2: added discussion concerning characteristic of the base
field, fixed some typos and inconsistencies; removed "I" from title as second
part has a new title; to appear in Geometry & Topolog