I just change direction, but then I'm hand-piecing so that I don't sew the seams all the way to the edge anyway. You've made me realise that this will be an issue when I try machine-piecing, which I'm thinking of doing for a charity quilt currently in the works. I suppose I could always mark up the diagram with the seam pressing directions again, it's something I do with complicated piecing (like the quilt in my avatar).