I've done a fair bit of it, using a step-up ring from a smaller filter on the lens to a larger on the ring to overcome vignetting when I'm shooting a WA lens.
The biggest problem I've encountered is color shift. You'll get a decided green cast...... okay, make that a sickly olive cast..... if you mix brands of filters, and especially if they're cheaper filters. Best I've tried for beating the color cast is B+W.
It's not a perfect system, but good enough to try when conditions warrant- if you already own the filters and happen to have them in your camera bag. If buying new filters for the job, I'd forgo the extra polarizers and move directly to a variable ND.