I will also baste my pieces on. I like doing this because it will keep the piece I am appliqueing flat to the surface AND I don't have to deal with pins while sewing. I started basting like this a long time ago and have done it ever since. I was trying to sew a small piece and my thread kept getting caught on the pins. When I finally got the piece sewn on, I was so tense that I almost stopped appliqueing for a while. I took an applique class from Jeanna Kimball and that is how she does her applique and I haven't used any other method.
By the way, if you are basting before you are sewing on the sewing machine, you need to baste on the inside of your piece, at least a 1/4" away from the sewing line.