There is no one answer for this. It depends on what you are doing. If you are doing a stitch in the ditch, follow the ditch. If you are doing a meander or loops, you can sometimes find a way to fit it in.
If you doing a very controlled design, you may not have a way to hide those stitches. Then you'll want to break your thread, and start in the next section.
As for starts and stops, there's as much discussion about that on the LA sites as on the home machine sites. For competition quilts, it seems that the consensus is to tie a knot and bury it in the batting. There are instructions all over the net on that. For everyday quilts, you can backtrack a few stitches, or just do several stitches very close together.
HTH!!!