Using a contrasting thread is nice when you are looking for a primative style quilt. I like it.
Using a matching thread is nice when you don't want the stitches to show (beautiful quilt kintteck)
Using monofilament thread (clear plastic) is something I'm only fond of if its not going to be a bed peice or a wall piece (a purse maybe) For me I can see the thread shine (sulky's monofilament has a bit of a duller shine and preferrable) If your pieices are dark there is black monofilament to use.
I prefer the applique stitch for most of my applique. I have however been known to use free motion zigzag