Are you following these steps taken from the manual for multiple exposures:
For deliberate multiple exposures, make the first exposure in the normal way. Then tighten the film by turning the rewind knob and keep hold of the rewind knob. Depress the film rewind release button and advance the rapid-wind lever. This cocks the shutter without advancing the film. Finally release the shutter to make the second exposure. Then make one blank exposure, before taking the next picture, to avoid overlapping. As the exposure counter continues to function each time the shutter is cocked, a double exposure will be counted as two frames.
http://butkus.org/chinon/pentax/pentax_mx/pentax_mx.htm