Hi! It is called "Quilt as you Go", and there are several methods for assembling the quilted blocks. The book "Reversible Quilts" by Sharon Pederson gives one method for assembly that I have used. It is a little tedious, with all the hand stitching required, but works out very nicely. I have also heard about "The Cotton Method", but don't know specifics other than it is a Quilt as you Go, and not very well liked by my favorite quilt shop.
Hope this helps!