I attach the first one to the same side, then with the second, stick it through the first before clipping it to its respective side. This prevents them from sliding down the leg at all while still not being too tight. I've never had a horse get caught or seem uncomfortable with them like this and I find it works best to keep the blanket from sliding side to side.
I don't cross the leg ones, if you cross them the horses legs can get stuck. But I do cross the under the belly ones because if they aren't crossed there's a slight possibility that the legs could get stuck