If the starts and stops aren't going to show (busy fabrics or in a ditch) do a little backtrack. For show quilts or quits where the stops and starts will be distracting, I leave enough of a tail from the top and bottom threads, tie a square knot, and thread a needle and bury the threads. I used a "Spiral Eye" needle - they really make this part of the job easier!
http://www.spiraleyeneedles.com/