I have used all the methods mentioned so far here's my take (for what it's worth)
pin nails
Pro: very good at holding the stack and keeping it from moving.
Con; have to have or buy a pin nailer, I use hardwood and the pins would bend inside the wood and be in the pattern line ( this is very bad for the blades)
double sided tape
Pro: works well, adds lubrication to the blades
Con: removing the tape can be problematic, wood fibers may come off with the tape.
Hot glue:
Pro: works well
Con: I've have one or more layers come loose in one or more areas around the piece
Blue painters tape
Pro: works well
Con: can't see wood grain through the tape. If your'e using BB plywood this is probably not a concern
Packing tape
Pro: works well, can see grain
Con: packing tape can be a real pain if you have issues with static electricity, the adhesive can be wildly different between batches/manufactures ( The roll I'm using right now has to be cleaned with acetone, MS just won't dissolve the residue ).
My current system: Cover top and bottom with clear shelf liner, packing tape to hold the stack. Pilot hole for the outside cut and enough room around the pattern so that the waste area keeps the layers of the pattern locked in place as the ouside is cut.
I have recently cut 5 layers of 1/8 BB plywood for ornaments, using 2/0 blades. The stack limit is the length of the small drill bits.
I did try putting wax paper between each layer (for lubrication), but I didn't notice any difference.