Everyone has opinions...you have to find what works best for you.
Here's my 2 cents :)
Sew with a short stitch. Sometimes I moisten the paper with water...it depends. I always have tweezers handy too.
When it's time to remove the papers, I find a relaxing time and place where I can work mindlessly on this task. Take your time, enjoy someone's company, watch or listen to something nice, and maybe even enjoy a cup of coffee, tea or glass of wine. One time I even took some PP to a meeting and had them done well before the meeting was over. Afterall all I had to do at the meeting was listen.
Remember to enjoy every step of the quilting process...otherwise why do it?