One trick I used for the first time was to iron a piece of plastic coated freezer paper (plastic side down) to the underside of the onesie where I would be embroidering. The paper provided the perfect stablizer for the delicate tee and kept it from stretching while I worked. Once my needlework was finished, I tore away the paper (gently!) and voila - done.
Ah, the wonders of freezer paper. If you're new to the freezer-paper-as-crafting-tool game, here are a few links to open up your world even more:
The Crafty Crow