Re: embroidering your applique...question....
Depends on how you affix it. You could do your embroidery on a piece of fabric and then cut out your applique. If you affixed it via heat bond or wonderunder you'd probably end up breaking emb thread allot due to glue.
I've done decorative stitches within my appliques with just my sewing machine built in stitches. You can also use decorative stitches to affix your applique depending on what types you have on your sewing machine.