When at least two pieces are in contact, you can start embroidering them in place. You can either do this by hand or with the buttonhole-stitch (zig-zag) of your sewing machine. Note that you can't go all around the piece if the other pieces are still missing. These tiny pieces are fragile and the edges will plush a lot so you want to set them in place as soon as possible and avoid manipulation excess. Set your stitch wider for very plushy pieces and narrower for delicate details. Work your stitch at an angle as you go for nicer result. Avoid silk, satin or other very plushy fabrics for the smalest details such as hands and faces. Glue isn't necessary but if you're not used to working with such small pieces, it might make your work easier, especialy if you're embroiding with a machine. Avoid liquid glue at all cost because it will go through the fabric and stain your work. Also make sure that the glue is intirely dry before sewing through because your thread and needle will get gummy and you will not be happy at all with that, I swear.