I'm like Kara in a sense...I make a small knot (underneath)when done...and then pull my needle and thread 'between' the batting a couple of inches from knot...pull it back out underneath and gently tug that knot back inside and clip thread where I just pulled it back out (make sense?)
Also, here's a great info site at:
http://www.quilttownusa.com/mom/hqbbeginners.htm (Love this book!) if you get a chance...go check out the book by Jinny Beyer on hand quilting...awesome!