I tried burying threads and did not think it was worth it - especially when I had a lot of starts/stops. I do a method similar to what Jan described.
If you are committed to burying them though, there is a great cheater needle on the market that I recommend. It's not the Clover - that one works by *popping* the thread through a tight gap in the top of the needle, I've broken too many threads with those needles.
Try the "Spiral Eye" needle - they are great! I use them for almost everything now.
http://www.spiraleyeneedles.com/
Sometimes when you can make just one little part of a big chore easier (threading the needles - especially when you are using short threads already connected to the quilt), the whole chore becomes that much easier.