Fist of all, when I say "run a desktop app within a applet" I mean do a Applet application that runs off-line, instead of a Desktop application that runs inside a JFrame.
The little I know about applets (and maybe something I say is wrong, please correct me) is that applets have all permitions not granted by default. Also, the applets run inside a Sandbox, that does not allow information in or out without explicity permition.
So, if I am focused on security in my application, its best to run it inside an applet (off-line, for a desktop application) then inside a JFrame. Is it right?