I put together a couple of baby quilts before taking a class, and that was the wrong order! I learned a lot of good techniques from a 3 week quilting class at my local shop. It included piecing, sandwiching, quilting (with a walking foot), and binding. The tricks for sandwiching and quilting were very helpful. I really, really recommend a walking foot. I had one for garment sewing (useful for matching plaids and sewing corduroy), and it really makes a difference. Heavy starching helps too as others have said. The other thing is to not start on a loved twin quilt! Make some placemats or a table runner first. That way you can concentrate on the quilting process rather than maneuvering a big quilt through your machine.
Pam