(silence) BEFORE the pickup notes. Slightly cut off the note before
the pickup(s) if there is no rest. Generally a quarter of a beat in
2/4 or 4/4 is enough. 1/3 of a beat in 6/8 time generally works
well. If there is a rest, be sure it starts when written.
When there are an odd number of pickup notes, they generally can be
grouped as sub-phrases. Five pickups mean that the first note is a
pickup to the second, and the next three notes are pickups to the
downbeat. This implies that the second note is slightly more
separated and that there is a crescendo during the last three so that
you "land" on the downbeat.
Another trick is to use the "bluegrass" method of counting. In a cut
time march, 5 eighth note pickups into a half note downbeat would be
"scat sung" as "a 2 it is a 1."
To get the needed "lilt" in playing a march, it helps to accent
slightly a pickup note, but with slightly less weight than the weight
of the downbeat that follows. In the "Sousa" period marches the rule
was "long note=strong note." In a 6/8 march think "de dum, de dum,
de dum" to get the "feel" of eighth rests on counts 2 and 5.