Are you hand or machine sewing these down?
If it is by machine, I would Pin one of the elements, sew and then pin the next one.
I find that all of the pins, appliques, extra fabric can get in the way while spinning the top around while sewing. The pieces get tweaked and wrinkled up too...
You can also use Elmers School glue to temporarily hold the pieces in place. Put little dots of glue under the pieces and set the glue with a dry iron. It is easier than working around pins :D:D:D
I would do the applique first and then quilt :D:D:D