A.G.
I love making baklava. Some people prefer it light and crispy, some like it packed in and squishy.
Keep the pastry sheets moist at all times by keeping a layer of wet paper towel or two over it. If you are the former, then be quick with the butter and layering. I am the latter so I use alot of filling. The longer it sits, the better it is, imo, bc all the butter and honey gets to really soak into the pastry and get it gooey. If you don't like it squishy and gooey and soggy, then just don't use alot of honey in your filling and spread just a little filling in each layer.
Yes, you can leave it out - it should stay crispy for a few hours. I think if you leave it out for a whole day, it might lose its crispiness. But it is still good.
I've used pecans and pistachios before (in separate pans) and I like cutting them in diamonds...it gives it more of a prettier presentation.
good luck!