Originally Posted by Lacelady

I hold the point of my needle near the last stitch, wind the thread twice around the point, put my left forefinger on those loops on the needle, then pull the needle through the loops. Keeping the finger on the loops seems to help the knot to stay near the last stitch.
Don't worry if you have a short distance between the last stitch and the knot, as, when it gets hidden in the batting, that will hold everything in place.