I don't like using pins because my thread always gets caught on it. I use a tiny dab of Elmer's washable school glue. If the applique piece is large, or has a long section that flops around, I'll use more than one tiny dab.
I've never had a problem with my applique being too loose or tight when I'm done. I cut away the background and press with steam, which takes care of any issues such as wrinkles, pin holes, applique not laying flat, etc.