I find I get more precise (less messy) application if I wait for the icing topcoat to dry completely and then stick the paper down with a thin schmear of light corn syrup. Wafer paper (a type of edible paper made solely with potato starch and a bit of oil and water) will not stick well to wet icing at all - so I wouldn't even try that approach with that type of paper. Frosting sheets are more forgiving and can be applied to wet icing, dry icing and even naked cookies, but - again - I generally prefer to have a dry topcoat underneath.
I also like to use craft paper punches to cut out perfect circles and other fun shapes from the paper; these tools sure beat tracing and cutting freehand.
There's more posted about the difference between wafer paper and frosting sheets here, for those interested: http://cookieconnection.juliau...sting-sheets-and-why