Having almost finished my pallet coop, I'll offer some suggestions....
#1- Most important!! Make sure all your pallets are exactly the same. The same size, the same construction, and above all, in good shape, meaning if they have been broken and pieced back together with extra wood don't use them as they will create headaches, bigtime!! Mine were not all the same, some were pieced together with extra wood and that's why mine is still not completely done yet!!!
#2-I do not believe bolting them together will make enough difference to justify the extra time it would take to do it... Once they are all up and covered in plywood or OSB, they become very sturdy. I was on the roof of mine this weekend putting shingles on and it never even wobbled, I am NOT a small man ;o) Mine withstood a 60 mph wind storm yesterday so I guess I can attest to the sturdiness of this method of construction.
#3-Using a 2x4 between them is the best way to attach them together is the best way to do it, NOT the way I did mine but wish I had. It adds rigidity you just can't get with most other methods. Picture a pallet/2x4/pallet... And it saves the hassle of trying to fish a landscape timber or 2x4 inside them, it depends upon the size of you pallets if anything nominal size will even fit between the slats.
#4-Pre-drill all your screw holes... This one you'd learn very quickly on your own if you're using hardwood pallets ;o)
#5-Cut your windows and doors out of the pallets before you put the sheeting up. It's much easier to cut the windows through only the plywood or OSB than both. I heeded this advice except I decided to add an extra window and even with a sawzall, it wasn't fun.
#6-Make sure there are no protruding nails on any of your pallets where you will be attaching plywood or your 2x4's to, they really throw things off.
#7-Relax, it's a chicken coop, it doesn't have to be perfect, unless of course you're in a neighborhood where folks have the right to complain about such nonsense as what your chicken coop looks like;o)
Sorry if this was a bit long winded I hope it helps.
Here's some pictures of mine, almost done!!!