I was taught to pull down through the needle too -- at my first sewing class a couple of years ago. Also, at the dealer when playing with their machines or taking a seminar.
It's just as easy to pull that way so I do.
I guess if I was worried about wasting that little bit of thread I wouldn't sew at all since I spend more time ripping out thread from making mistakes than I do sewing some days!
I just learned on QB the other day the presser foot should be up when threading too. I hope I remember that right. It does make sense if leaving the pressure foot up releases the tension disks while threading it would not affect/harm them when un-threading in either direction.
Regardless, I'll keep doing it the way I learned. Then it won't matter as much if I forget to put my presser foot up.