Any letters (fonts) can be embroidered but they have to be digitized first. Some machines come with fonts to use and you learn to put them together. Embroidering the fonts is easy but not all fonts embroider as nice as they look printed. You just have to do a stitchout and see the results, this may not have answered your question but may have helped.
I'm not sure what exactly you are asking. The letters that are available from CuteAlphabets.com are designs for machine embroidery. You don't need to choose a stitch style for them. All you need to do is be able to load the design into your embroidery machine and then pick the colors.
If you are talking about doing your own digitizing, that is a completely different topic, and I would have to know what digitizing software you were working with before I could even stand a chance of answering. If you are talking about hand embroidery, that is yet again a completely different topic, and it would depend on the look you wanted. It also wouldn't really fit on this question board. =]
My software that came with my machine allows me to program in alphabets. I can use the ones that came with the original program or I can buy alphabets over the internet or from my embroidery machine dealer.