You might want to check out some of the advice on the Affairs of the Heart Cyber Sew main thread. Go to the bottom of this page and click on Topic list. It is at the top of that list. There is a kind of tutorial for alot of the blocks.
Personally, I learned by cutting out the pattern on freezer paper, ironing it to my fabric, painting startch on the seam allowance and turning the edges under and pressing. I then stitched the applique to the background. I am currently trying to force myself to give up the freezer paper and learn to "truly" needle turn. I have found a couple of things that help me out-
1. Most important- match your thread to your applique piece, not the background.
2. Cut your seam allowance more narrow. I tend to want to leave them too big, which makes it harder to turn under and lumpy to boot.
3. Take smaller, closer together stitches. Long stitches allow lumpy points on the edge.
4. Take your time...I cannot do it quickly although I hope with more practice I'll move quicker.
Good luck!