Hi,
Depends what you want, if you want to cut out the felted shapes without a border, I would felt over the outline then cut it out and use the felting needle on the edge to "seal" it. If you are wanting the felted shape to have a border of material, you could either sew a zig zag edge around it, or cut it larger and hem it or you can get a spray that stops fraying, sorry I can't recall what it is called.
If you haven't got finger protectors in your kit I would highly recommend you get some, I have leather ones which are great, but if you stab at the felt too hard, the needle will still go through, but you just prick your finger rather than stab it.
Have fun, I'm sure you'll find it very enjoyable.
Regards
Sue