Some of paper based ones are ok to iron directly, the fleecey ones aren't.
I always like to iron the fabric first and make sure that are no creases or wrinkles in it otherwise there is a danger of permanently fixing a crease to your interlining and that isn't a nice look
Lay the fabric right side down on the ironing board, place the interlining on top - fusible side down and iron. I also like to use a pressing cloth (that means any scrap I have to hand - but it sounded better) This also protects your iron from getting the adhesive on it, which does build up and can make a mess of any other ironing you do.
If your interlining has a number such as H250 or H204 you can find some really helpful video's on the Vilene site (There are no spoken words so you don't need to either read or speak German.) They're really short but they do show you how to get the best of your interlining.
The link if here:http://vlieseline.de/English/Products/Interfacings/Iron-on_Nonwoven_interfacings/H_250.htm
(Browse around the menu at the top to see all the different types.)
I feel like a real interlining anorak now !
Hope it helps.