Personally, on windy days working outside, I use 2 methods, depending on space. The outside extremities of the chicane and restrictions for stacking/de-stacking: if using standard pallets 1200 mm x 1000 mm, standing on the 1200 mm side, I insert another standard pallet 1000 mm face into the rear of the 1200 mm upright on the middle plank of the base of the cruciform pallet. For the inside of the chicane or in places where there are restrictions, I use a strap of webbing with a spring loaded steel clamp clip on one end to hold the corners upright. These always work well 99.7% of the time!

I've read that pallets upright is a safety concern, although this is right, it is also the instructors role to ensure trainees observing training (Not testing) are in a safe place, but can still see and hear. I attended a site and was told I could not do this, and I had to lie the pallets down, so, I agreed, providing the company issued me with enough pallets to make the restriction of the chicane to a sufficient height. They allowed me to use my straps when I asked for 70 pallets just for the chicane.