There's a difference between typographic ligatures (also called stylistic ligatures), such as fi, fl, ffi, and ct which are seen in some typefaces, and lexical ligatures, such as æ and œ. The latter are a matter of spelling, in your control as the author, while the former are a matter of typesetting, best left to the book designer.
Use your lexical ligatures, and allow the typesetter to care about the typographic ones. That's all you need to know. Below the line is extra stuff you may find interesting.
There's a lot of complexity here. For example, in Old English and Old Swedish, æ was not considered a ligature of a and e, but a letter in its own right (called ash). (And it still is in Danish, Norwegian, Icelandic, and Faroese.) Also, some typographic ligatures are included as separate characters in Unicode. (Properly, speaking, you should just type the two letters f i, and the font designer should take care that they're presented correctly, which may mean as a ligature. You shouldn't need to select the ﬁ character yourself. The fact that it exists at all as a separate character is an artefact of history from the times when fonts weren't clever enough to tweak the look of characters depending on their context.) Of course, this is further complicated by languages such as Turkish and Armenian, where there is a difference between dotted and dotless i, so a ligature which obscures the dot on the i should be avoided. Some ability for the author to control such ligatures is therefore necessary, and good typesetting or word processing software should provide it.
Note that in the font currently used on this site, the ﬁ ligature exists, but does not actually connect the characters: it just draws them close together. However, if you type the two separate characters, fi, it looks the same.