I haven't experimented enough with normal tape, however, I believe there are a lot of new tapes with various properties that may serve better than the blue masking tape.
I use special laser tape, though it's primarily used to protect the surface from charring. It costs a small fortune, but as it usually comes in bulk, meter by meter usually works out cheaper than traditional masking tape.
The thing I hate about tape is that if you engrave small, it's hard to remove the left overs inside the letters (as in say "A") and sanding it off is a PITA and jeopardises blowing through the engraving if not deep enough.
If your first cut is too short... Take the second cut from the longer end... LBD