Can't get darning needle through two layers of fleece?

My first quilting project is a fleece baby blanket. I'm trying to do a blanket stitch around the edge with yarn, but I'm having difficulty getting the darning needle through two layers of fleece. Do I have to somehow poke holes all around the edge first? If so, what is the easiest way to do that? The holes only need to be big enough for the needle to go through.