I've appliqued only a little, but here's two methods I've used. I've cut a shape out and used a glue stick to hold it in place while I zigzaged around it. Most glue sticks wash right out, but hold pretty good.
The other method was to applique a two or three inch letter A. I chose a font I liked in Word and printed the A out in a large size. I cut the paper letter out with an inch or so around it. Then I put the fabric for the A down on the other fabric and put the paper A on top of it all and pinned it all together. I stitched carefully around the edges of the paper letter A with a straight stitch, then tore the paper away. Then I used small scissors to cut just outside the stitches to form the fabric letter A. Finally I zigzagged around the letter. I read this method on the board.
Oh, and someone mentioned on here recently that you don't have set your machine to zigzag tightly, just zigzag around once and then go around again, if you want.
I would practice first.
Tate