it depends on what you are appliquing...some pieces belong under another- some times the belong side by side- you can stitch them how ever you want- many times when i am machine appliqueing and pieces are side by side (if they are close enough-not with a gap)
i will use a zig-zag or satin stitch that is wide enough to stitch both at once- but if the pieces are different shapes i might stitch each separately---
it depends on what stitch you are using to do your applique-the look you want- and the project itself-
if you are unsure how different ways will look make a practice block that you can try different stitches- design layouts on.