I have done several appliqued quilts (all of them baby quilts), and most of them (but not all) have been Sunbonnet Sue. I assembled the applique pieces either in the order as instructed, or mostly just used common sense, fused them to the individual blocks (I think my blocks were 10" square on the last one I did). Then, using my Singer 403, I stitched around each piece, using the "satin" stitch or, some call it buttonhole stitch, using a stabilizer (a/k/a Stitch-N-Tear Lite) on the back of each block. Once the applique pieces are stitched in place, tear away the stabilizer, assemble the quilt blocks, sandwich the quilt and quilt it. If your pattern instructs you otherwise, then I would do as the pattern instructs, unless you are experienced enough to do otherwise.