Welcome to the quilting board from Texas. Sounds like you are off to a good start with your new found hobby.
I would say if you stitch the applique through the batting, you will get a puffy look to the turtles. The technique you are asking about sounds like Trapunto to me. You can do a search on trapunto & probably find lots of videos. I've never done my applique like that. I've always just stitched the appliqued pieces to the top block & when all done I then layer my quilt with the top, batting & backing & then quilt it all together. Have fun & keep asking those questions as we all learn from them.