
How do you Light in Layers? (Background/Midground/Foreground)
I have to say it depends on the location and the look you are trying to achieve. But usually what I do is I light the subject, separate it from the background and the see how I can light the background to give dimention to the image. The important thing here is create depth by creating light and dark. Also you can create depth by color.

What all to be careful about lighting up in layers
Besides needing several lights, I think keeping a balanced image is the most challenging. Don't overexposing or over-lighting the part of the image where you don't want the attention to be drawn to. The same with no darkening too much the part that's actually important or the whole background as it's not going to create depth.

Is there any rule that can help
Maybe the 3 key lightning setup can be a start. It will separate (if you have one) the subject from the background (maybe fill is not needed, depends on what you are going for) and give the background some "base" light. Then you can start adjusting and adding more lights accordingly.