I iron every step of the way. I don't use steam but just ironing does help hold it in place.
For those who don't have an ironing board close to your machine - I use a 1/2" thick board 14" x 20" and cover it with a thin cotton fabric. I use old curtains and just throw them in the wash from time to time. I do a lot of spray sizing so it gets gunky and I have to wash them. You can refold the fabric to get a clean place and then wash later. Don't use a towel tho as I think that is too bulky and your pieces won't lay flat.
I have mine to the right of my sewing machine. It helps to be able to iron everything as I am working on it.