I use cheap thread (sergercone thread i bought a gazillion years ago before I knew better, before I quilted) to baste my pieces in place, right through the freezer paper, which I have fused to the right side of the applique piece. The edge of the freezer paper makes a nice edge to follow with your needle turning, and once you are finished appliqueing the piece, the basting pulls off quickly and the freezer paper peels off, and you're done.