I used that too until I started to work with slide duplicates (two slides in the same mount). In that case it gets too dark for focusing etc. so you need artifical light.I usually use natural light for the exposures fortunately we have plenty of clouds in the UK.
maybe the problem is some slight vibration? Slide copy setups are often very sensitive to camera (mirror/shutter) vibration. One of the reasons I switched to flash lighting in the past. I will keep this in mind when experimenting; multiple exposure sounds very convenient, but if the result is less good I prefer do do everything on manual.I have my 40D set to take multiple exposures for HDR purposes and tried this first. Not sure why but the exposes were not always crisp. Now I take individual exposes set on normal, under and over. This seems to give a better result.