My advice is to try it both ways. Usually when I'm doing multiple exposures, I use auto gain, since often one wants all of the various contributing exposures to be semantically equal. But sometimes I really do not want the exposures to be equal, so it's easier to get the correct result without auto gain. That means doing some calculation, usually mentally, and that can be pretty error prone. At least it is for me. But virtually any multiple-exposure image, at least in my experience, is a very deliberate kind of thing, and there is nearly always ample opportunity to reshoot if I get the calculations wrong.
_____ Brian... a bicoastal Nikonian and Team Member
My gallery is online. Comments and critique welcomed any time!