I tried paper to quilt once (was not the sticky type), but I hated pulling all the little bits from my stitches. Haven't used it since.
Edit: Oh, just read the other posts. If it's Thangles used for piecing, I will use those. To remove the paper better, I crease on the stitching line first. For small bits of paper, I just leave them in the seam figuring they will wash away eventually.
I thought you meant stitching a quilting design on a quilt sandwich through paper. That's what I won't do again!