Ricky's raw edge applique is amazing, as you can see in the picture that I took in Oldham this year. He uses a narrow double blanket stitch.
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Click on the picture for a bigger version.
I always experiment a little with threads before doing any applique. If the thread is visible, then I really want to be able to see it, and some threads are just too thin. I often end up using Superior's King Tut.