Here's one project where the Photoshopping is usually easier than the shooting. Capture the action right, and compositing will be a cinch.
Start by setting up your camera on a tripod. The steadier, the better. Then set everything manually so that the only thing different about each shot will be the location of the figure. Pick a small aperture to get it all in focus (f/11 should do), but make sure you've got a quick enough shutter speed to freeze the action (at least 1/500 sec). If you have to boost the ISO, do it.
When it's time to shoot, set your camera to burst mode and capture as many frames as you can. Before you combine, pick the best of the set. And, unless you want the figures to overlap, choose some with space between them.
Then just follow the steps in this image gallery.
To see more of Debbie's Photoshop tips, check out her Digital Toolbox Archive.
Photoshop Quick Tips
1. To select two areas separately, hold down the Shift key. You can add another selection without losing your first.
2. Need a fast way to make your foreground color black? Just type D, then X, on your keyboard.