Wonder Under will make the appliques quite stiff. Not all sewing machines can handle sewing through it in a quilt. I second the suggestion to window the WU -- both to soften up the quilt, and to make it easier to quilt through the appliques if you decide you want to.
Incidentally, a small stipple will also stiffen a quilt. I did this once on a doll quilt and the thing came out almost stiff as a board!
The amount of quilting you need is largely dependent on the batting. With something like Warm and Natural, which can be quilted up to 10" apart, you could simply quilt around the appliques.