I do not stitch/baste through my papers, so I never have to remove my basting. Sometimes I use starch or a washable glue stick for basting. Traditional Primitives has a good tutorial on basting with starch.
I tend to use a fairly long thread and stitch as much as I can, if you are talking about actually putting the pieces together. I sew as many pieces, sides as can be put together, I do not leave any gap of thread between pieces, I do tend to knot at each intersection- just to keep the points tight. If you are talking about while basting I do each Hexie separately.