I'm about to start laying some engineered hardwood flooring and before I
start, I'd welcome opinions.

The current floor is patchy quality old floorboards. My plan is to lay
plywood down on top of them. From what I read, I should nail or screw
the plywood to the existing floor... but also leave an expansion gap.

Surely there is a contradiction here? If I fix the plywood, then it
won't be able to expand. So what would be the right thing to do (and why)?

Also, I've enough underlay to do the room twice and I could put a layer
of underlay under and over the plywood.

i.e. floorboard, underlay, plywood, underlay, hardwood-floor.

Are there any advantages or disadvantages to this?

Thanks
Bob