I got mine at JoAnn's where it's kept with the quilting notions. The brand I bought is Fons & Porter which is often excluded from sales on quilting notions so I made sure to grab it when I could get it at 50% off (it's regularly $16.99 but well worth that price but I'm cheap

).
I fuse all the pieces in place before I do any stitching. When I'm drawing the pieces onto my fusible, I decide which piece to be on top then assemble everything from the back to the front. With the Ariel design, I started with the rock pieces, added the seaweed and starfish then began assembling Ariel herself. Once it had cooled, I peeled it off the pressing sheet and moved the whole thing to the fabric to which it was to be stitched.
Once the assembled applique is fused to the base fabric/garment (with stabilizer behind the base), I begin stitching. As with assembling the pieces, I work from the "back" to the front in layers. That means I sometimes have to rethread the same color more than once as I work forward. This also has each new layer of stitching secure the beginning and end stitching of the previous layer. That way I only have to pull the top thread to the back to tie in a few locations. (I tie or secure all thread this way so the stitching doesn't start to unravel over time.)
Here's the order I did for the Ariel applique:
1) The dark grey of the rock
2) The light grey of the rock
3) The purple seaweed and the starfish
4) The green seaweed and her hair - but not where it overlaps her face.
5) The whites of her eyes and the main part of her body - but not the hands or the arm that is in front of her "knees"
6) The rest of her hair, the main part of her tail, irises of her eyes and her top
7) Her hands and remaining arm, fins, pupils and the "peplum" at her waist
8) The rest of the details of her face are hand embroidered
That means I changed the top thread about 15 times. Mine may not be the most efficient way to do it but it's working for me and I'm generally happy with the results.

Of course the more I do it, the more I find better ways to do things that usually save time.