Suppose we want to explain why one tortoise doesn't fall down, and we explain this by saying that it's standing on two tortoises. And then we explain why the two lower tortoises doesn't fall down, we suppose that each stands on two tortoises. And so on. That's terrible: we're constantly explaining one puzzling thing by two that are just as puzzling.
Now suppose we try to explain the puzzle of the transition from bald to non-bald in a Sorites sequences of heads of hair (no hair, one hair, two hairs, etc.). We do this by saying that there are going to be vague cases of baldness. But this is just as the case of tortoises. For while previously we had one puzzling transition, from bald to non-bald, now we have two puzzling transitions, from definitely bald to vaguely bald and from vaguely bald to definitely bald. So, we repeat with higher levels of vagueness. The transition from definitely bald to vaguely bald yields a transition from definitely bald to vaguely vaguely bald and a transition from vaguely vaguely bald to definitely vaguely bald, and similarly for the transition from vaguely bald to definitely bald. At each stage, each transition is replaced with two. We're constantly explaining one puzzling thing by two that are just as puzzling.
That said, it is possible with care to stand a tortoise on two tortoises, and we could have evidence that a particular tortoise is doing that. In that case, the two tortoises aren't posited to solve a puzzle, but simply because we have evidence that they are there. A similar thing could be the case with baldness. We might just have direct evidence that there is vagueness in the sequence. But as we go a level deeper, I suspect the evidence peters out. After all, in ordinary discourse we don't talk of vague vagueness and the like. So perhaps we might have a view on which there is one level of vagueness--and then epistemicism, i.e., there is a sharp transition from definitely non-bald to vaguely bald, and another from vaguely bald to definitely bald. But the more levels we posit, the more we offend against parsimony.