I do not pre-wash garments, but I do pre-wash many of my fabrics (especially reds, blacks & other dark colors) to prevent running and fading. I also use high quality polyester thread that does not bleed, but keeps its shiny luster wash after wash.
I recommend that you hand wash or use your washer's gentle cycle on all embroidered and/or appliqued items. Appliques and dryers are NOT friends! Please be sure to hang all garments to dry. This will help them last longer and keep them looking great for years to come! I use a bonding backer on all of my appliques, so a quick iron on medium heat should remove any wrinkles.