If you attach the slices, and then applique the whole plate/fan to a background fabric, you can then cut away the background fabric without worrying about the block going wonky.
That's if the WHOLE shebang is going to be from denim.
If you're making denim plates to go on regular cotton fabric background, then I'd wait until the quilt top was together before cutting the background away. That's a big weight differential between the two fabrics, and it could get a bit wonky without the full back stabilizing each block.
That said, once it's sandwiched and quilted, it will be fine.
Sounds like a great idea, and really, really warm.
eta: Good idea in the previous post. Less blades to reduce the weight of all those seams.