Definitely shoot in AV (aperture value) mode and vary the shutter speed!
You don't want to change aperture between shots as the effect is dependent on how well the photos line up, if one photo was shot with a wide aperture the foreground/background might be out of focus in one shot and not in another. I would normally focus the image in advance and turn AF off to ensure the focus is identical in each shot.
A tripod is recommended for the same reason, however good software can account for a certain amount of camera movement (especially for distant objects), but it can't account for changes in focus!
Would be interesting to see the effects of results of using TV, I imagine you'd get weird ghosting effects in the Out-Of-Focus areas, but it could look interesting.