I just made a quilt for my son's guest bedroom. The bed has a footboard, so the issue is the same as the daybed. Let's see if I can describe what I did. Think of a quilt that lays over the bed from side to side, with borders hanging down. Then, think of a piece that extends over the end of the bed, but is only as wide as the flat top of the mattress. That is the piece that you push down between the mattress and the footboard. I would think that you'd do the same for the daybed. Here is the link to the pictures:
http://www.quiltingboard.com/t-141463-1.htm