I sewed the final Velcro on after the bag was done for the top closure. The stitching shows - but i try to sew nicely! I take the threads to the back and then knot and bury them like when hand quilting.
For the side pockets - I put the Velcro on the quilted bag part first - and then I attach it to the pocket. Then I sew the pocket down.
If I have pockets on the lilning - I either back the lining with an interfacing or reinforce the areas where the velcro will go with iron on tape. I sew the velcro to the back/inside first - and then sew the matching part to the pocket next.
I try to do it while it's still relatively easy to get at.