Screws would be a lot faster and hold pallets better.
As for pulling them apart, take it from me, I have build entire cat-walk for fashion shows with them. Pulling those pieces off of a pallet is no walk in the park. The problem is that most of them are staple on with staple gun or nail gun, either way they hold together really well. You would need some kind of leverage to even pry them off of each other, and then they get significantly weaker after you pull them off.
It's easier just to lay them on top of each other and go from there, you can always get more pallets, just find a furniture store or bathtub store, they tend to throw them away. The easiest way to pull them apart if you still want to go that way is to bring a saw and just cut them to pieces.