It can go as long as you guys want. Probably should be more than 40 rounds (I'll add 15 more when I get a chance). You are going to reach a point though, where there's only junk left on these rosters, but you should probably get as close to 50 or 55 as you can. You can always drop guys later for better players, make trades, etc. Probably a good idea to add picks for this year's draft, and once our regular draft is over you can pillage the FA section in Fantrax to fill your rosters.
I don't know where your knowledge levels are regarding the deeper end of the prospect pool, but all 3 of you should be doing some research because having good prospects will make or break you in this league.