I like to layer as well. The key here is to break up your normal position into the number of layers.
For example if my normal line is 7k per side on a few of my pairs (or the equivalent $ neutral amount) and since we are rarely perfect in our entry I might get to the full line like this: Layer 1: 1,000 Layer 2: 2,000 Layer 3: 4,000 with a set stop loss area aprox. the same distance the last 2 layers are from each other or a little more for wiggle room. This would give me a better average entry price than if I entered the spread with the 7k from the beginning and limits the potential loss of the largest portion of my line. The drawback is you might only get 1 or 2 layers on before it starts to move in your direction thus limiting the profit on that pair.
Layering vs. a single entry is a matter of personal preference. I tend to layer on pairs that are very correlated with a VERY high mean reversion tendency like AN - KMX or HD - LOW (stock in different companies) and RIO - RIO.pr (stock of the same company) I like to use a single entry and smaller size with stocks of 2 different companies that have wider range but have proven to be correlated over recent months but less so over the past several years like HOG - PII while using a 1:2 or better risk reward ratio.
