Last week "Pretty little things" comment included a question about how I applique my hexies. I use Jessica's paper clip method when I baste, which makes it easy to remove the papers. Then I trim away the excess fabric.
I hide my knot inside the seam allowance and make my little applique stitches around the pinned in place hexie. It's a good idea to bury the thread tail on the back when finishing, so that it will not shadow through the white background later.