I've been working on my cathedral window by hand for years and also finished one by machine for a lady. By machine is MUCH faster, of course, but I still like the portability of handwork.
The squares are joined with a tiny whip stitch, but join them wrong sides together; this way the whipped stitches are later covered by the "window fabric". The corners are tacked to form a cross (tack stitch two opposite corners, then tack the opposite two). When you sew the curves, use a blind hem stitch (like for hand applique), going through all layers. This leaves stitches on the back of the quilt, which makes it more beautiful, I think. I have also made CW ornaments, even some in miniature, which are beautiful too. This is not a quick project, but so worth all the time.