Dutchgirl:
I think it all depends on the quilt top and the embroidery. I am working on a double irish chain quilt. In the blank spaces, I am planning to embroider a celtic knot. I was going to do this through all layers of the quilt, having the celtic knot as part of the quilting. Then just do a cross-hatch or other simple stitch through the chain. The celtic knot is a very open design; I think it will work beautifully in this application.
If, however, your enbroidery designs are like dojo36's baskets, it would look much better done only on the top, then sandwiched.
As usual, there are no simple answers -- and no rules.