Without knowing specifically what look you are trying to achieve using multi-exposure it is difficult to fully answer your question.
The first thing you need to do if you want a multiple exposure to appear as a single exposure is to insure your camera doesn't move between the different exposures. The most practical way to do this is to mount the camera on a tripod and use either a cable release or wireless remote to actuate the camera's shutter for each shot. No matter how steady you are hand holding your camera won't work. Even when mounted on a decent tripod, actuating the shutter can cause enough movement for the camera to move.
The next thing would be to guarantee that the objects and people in the frame remain still as well.
If there are bright light sources and also dark areas and you are using multiple exposure to try and even out the lighting you should allow the bright lights to only be on during one of the exposures and then shoot the rest with the bright light sources off (assuming the dimmer areas aren't also being illuminated by the light spilling from the bright spots).
Whether or not you should leave Auto Gain on or off depends on the shooting conditions and what you want the final result to look like. If you are using multiple exposure to brighten dark areas in the scene turn it off, but be aware brighter areas could wind up overexposed. If you are shooting a brightly lit scene then Auto Gain would be more useful to reduce the exposure each frame so that the final image is properly exposed.
Something else you might want to consider is shooting individual RAW files and combining them in post processing with a software application that allows you to combine RAW images. Some will even allow you to vary the ratio of each frame to the others.
Two exposures combined in post processing. A lot of other adjustments that would not have been possible to do in-camera were also made to the images before they were combined, as well as edits done after combining the images.
Another double exposure with the flash to the right of camera and pointed higher for one frame and to the left of camera and pointed lower for the other. One frame was exposed with the color temperature set very low (making the foreground mostly blue), the other with it set very high (making the background mostly orange). Then both images were combined. The ambient lights were much dimmer than they appear in the final result and didn't affect much except giving the appearance the scene was more naturally lit than it really was.