I don't think an adherent like Heat 'n Bond is what you're needing if you're wishing to sew something to the applique piece to turn the edges under. Heat 'n Bond is a glue that is ironed onto the wrong side of the fabric and then when you turn the applique piece over you iron it to your background fabric and either hand stitch something like a blanket stitch or machine stitch using a decorative stitch.
If you're wanting to sew something to the applique pieces and then turn them so that the edges are already turned under, then you need to use a lightweight fabric or even something like a used dryer sheet. I used to use old dryer sheets for this method when I first began appliqueing, before I learned needle turn technique.
I would simply lay the cut out applique piece to the dryer sheet (right side of fabric down) and then stitch all around the shape about ¼" in, make a slit in the back of the dryer sheet and turn it right side out, and then press the applique piece well and pin it to my background fabric for stitching.