With the Canon 5D Mark III, there's a multiple exposure mode that has lots of options but I chose the simplest - two images, combining exposure. The camera saves the two RAW files and combines them into a third RAW file, saving the original two. The one thing you can't alter in the combined file is white balance so care needs to be taken that it's accurate rather then relying on auto.
In the following instance, the auto white balance was a little cool and when I switched to cloudy in the DPP software for the individual files it was better. The multiple exposure image was stuck with the auto white balance, though, so I boosted saturation a bit to compensate. The single images have WB corrected to cloudy.
|EF 100mm f/2.8 Macro at f/8, 1/180 sec., ISO 800|
|EF 100mm f/2.8 Macro at f/8, 1/125 sec., ISO 800|