However, what if you wanted to make multiple harmony parts and you don't want to do each of them manually, or perhaps you just want to whip up a harmony real quick?
Well, there's a quick and easy way to do this, and this is to use a VST pitch shifting plugin. The one that I like to use is by Aegean Music and it is called PitchProof. It's totally free! Just make sure you download the correct version as it comes in both 32 bit and 64 bit versions. For Vocaloid 3, you need the 32 bit version. I'm not sure about Vocaloid 4, but I believe that is still 32 bits.
For more control, I recommend that you duplicate your track in Vocaloid so that you can have one track that is devoted to the harmony part. In other words, keep the melody track and harmony tracks separate. What you'll need to do for that is to set the blend to 100% wet for the harmony track. That way, it's just the harmony part on that track.
If you do it this way, you can adjust the panning and volume for each track to your liking. You can also then apply different effects to each track.
Check out the video for a demonstration! Hopes this helps, and keep on rocking!