A friend of mine, who machine-appliques often, uses the blanket stitch set to a tiny length and with. It gives the applique a very nice look.
Someone earlier mentioned using the zig-zag set to a tiny length/width. I saw in a machine quilting recently that an award winning quilter had a very complex quilt top with tiny geometric applique. She attached the applique with a very tiny zig-zag. After seeing her do that I used it on a quilt of mine and was very pleased with the result.
Hope these comments help you decide.