Depending on the size of the squares, I would tie at all 4 corners, then again in the middle.
If it's little pieces, I would tie at an "intersection" about 3-4 inches from each tie.
I use embroidery floss and double it. Just a quick up and down then tie with a square knot. Make sure it's a square knot, so it doesn't come undone. I know of some people who would use a drop of No Fray to make sure the knot was secure. I never used it.