For regular sized grocery bags, I'm using a small sheet of newsprint sold as packing material. The best number of plastic to layer that I've found is 6 pieces. Any less and the material could be too thin or the iron could burn through. Any thicker and the plastic may not adhere through all layers. You may need to experiment with the number of bags to get the right thickness, as shopping bags vary in composition.
Next, let's start ironing.