Wash away applique sheets are my preference, see the following:
http://www.ctpub.com/showproducts.cfm?WPCID=1110
for more information.
This video is very good to show you how to do your stitching:
http://www.youtube.com/watch?v=s574YcWRG2k
You can get fray check from your local quilt shop as well, to stop any fraying on points and corners
Here is another video, using plastic templates
http://www.youtube.com/watch?v=axDBl7lJuJs
You can either pin or sparingly use Elmers clear school glue (small dots of glue), which washes out - to hold your fabric in place, until you get it stitched on. Be careful with darker fabric, as if you press it - to dry the glue, the glue will turn white.
You can purchase wash-away applique sheets, you can print your pattern onto the sheets using your printer, printing on the smooth side of the sheet - (Your econmy setting on your printer works well), the sheets are also transparent enough to allow for tracing - they are water soluable, single sided fusible, and eco friendly -instructions on how to do everything is in the pkg. each pkg has 25 sheets. You get nice clean appliqued edges.
If you have many of the same shape, you can staple up to 6 sheets together inside the pattern lines, and rough cut the stacks of patterns apart. Then remove the staples.
You will fuse the fabric with the shiny fusible side against (wrong side) of your fabric) - Leave 1/8 to 1/4 inch of fabric to turn under edges of applique piece and stitch to your background fabric. Wash your finished block in warm water when you're done. Rince by hand in a bowl or sink full of warm water. Let it dry and press - then onto the next block.
The applique sheets will soften once they have been in warm water.
I use YLI silk thread, as it appears to disappear into the fabric, so no stitches show. I stitch down by hand, I find it very relaxing, and can usually complete a square in a day to two, depending on the size of the pieces.
These sheets can also be used for paper piecing, therefore no paper removal - BONUS!
I hope this will help you out.