I've accidentally discovered a really great sewing technique for whenever you fabricate the fleece over the foam while you sew (as opposed to sewing the fabric pattern beforehand, then pulling it over the foam) that actually kind of combines the Henson Stitch and the Baseball Stitch.
Essentially, what you do is with the fabric over the foam, you sew into one piece of the fabric from the inside out, after you pull that through you sew into the opposite piece of fabric the same way: from the inside out. Like all stitches, you don't want to pull too tight as you sew, however, you want to pull it just a little taught to secure the two pieces of fabric together. Also, it's important to note that you don't want to sew too close to the edge of the fabric, because it'll cause the edges of the fabric to sort of bunch up, which will expose the seam a little more; likewise, you don't want to sew too far away from the edges either, because that will expose the thread more. Also, it varies on the kind of fleece you have: if you have polar/blizzard fleece, the results are excellent, whereas if you have a non-pill fleece, the results are little more middling. Likewise, I find the straighter the edges of the fabric, the better the results - this is how I've been doing hands: the sides of the fingers turn out great, but the rounded tips of the fingers are trickier, so the seams tend to bunch a little there. And, like the Henson Stitch, when you go back over the seam with your needle to cover the thread with the pilling, the results will bring you a virtually invisible seam.
It's also a less time-consuming method of sewing, I find.