I have used the method where you go through the batting. You come up to the top with your needle and then down to the back and come up again through the batting. If you do this you have to have your thread really long as you need to go from one end of the quilt to the other. It's very hard to start in the middle, so make sure your thread is long enough. I also like to use perle cotton to make the "stitches". I think it looks a lot more polished than yarn and it isn't "fuzzy".