I wanted mine puffier than what I could get with batting, so I filled with WonderFil. The trick is to make sure to leave a little bit of slack in your applique to make room for the filling. As Lynn said, just whip stitch from the slit closed when you're done (or if you are like me & want to
really be sure that the hole is closed, you can throw in a few stitches, iron on a piece of matching fabric with fusible & then blanket stitch that down so the backing is super secure).
I've also seen what Ragamuffin recommended & it looks very nice. They did a demo of it at a local yarn shop using white cotton fabric with hand-dyed wool yarn and a curved tapestry needle and an awl. If I had had the money, I would have done that. Here's a link to trapunto done with a combo of dyed & white (matching) yarn:
http://www.designerstitches.net/Shad...ther%20350.gif