I have been tying a "quilters" or "foolproof knot". When I start, I pop the thread into the batting from the top of the quilt. When the thread gets short, I tie another of the same knots and pop it into the batting, again from the top. I read a tutorial somewhere that I think I got all that from, but I can't remember where, and I also looked at some quilt books I've got lying around, and so it may be a combination of techniques.
I have been sort of doubling up - the first stitch of the next piece of thread I will put over that last stitch, since it is really kind of "half a stitch" anyway, not going to the back. But I'm really not sure what the "right way" is to do the first and last stitches of your piece of thread (and yes, I know there is no ONE "right way", but I want to know what works for you!)