I've had some success with using Mechanica Fasteners going through more than two thicknesses in the past. Basically, you need to turn off the "separation spring" option (which works in place of Contact between the fastened parts to ensure non-penetration) in the Advanced Fastener, and use Contact instead. To the best of my knowledge, Mechanica Fastener often fails because it has trouble creating that "separation spring" thing.
Also to the best of my knowledge,PTC support hasa whitepaper explaining all that stuff, which is quite handy when troubleshooting failing Fasteners.
-- Iouri (Yuri) Apanovitch
--- On Fri, 6/17/11, Korenkiewicz, Paul <-> wrote: