an old thread which has been resurrected, but I would just like to add, that this feature (if im not mistaken) only works with RAW files. If you a shooting in jpeg the camera will not recognise the files to include them in the overlay. Make sure you shoot in RAW.
As all of use the computer to download and view the images we take, why bother with in-camera double exposure, use the software. In fact an extension of this concept is staching a number of images to either overlay or if the scene is static to reduce noise.