A real cathedral windows quilt uses a folding technique, using a bias edge to get the curves. When you are done making the squares, no additional quilting is needed because of the thickness of the fabric layers (although you can if you want)
Here is a good tutorial for making one by machine:
http://www.quiltingboard.com/tutoria...al-t35742.html
You can get the 'look' of the quilt by using the die, or rolling the edges on a 10 minute block, but it's really not the same thing.