I really have only had the super cheapo $1.50 a yard Walmart poly/cotton mix fabrics fray on me so badly that I worried about the integrity of the quilt. I just did as JulieR says and stitch with a small tight stitch, then maybe use fray check. I just avoid those altogether since I mostly make quilts anyway.
Fray check is seriously the most awesome product though, I gotta tell ya! I use it for all sorts of things, aside from quilting!