I usually hold both threads for the first 2 or 3 stitches. And I agree with the previous advice from others - shorten your stitch length a bit, pull the previous piece out just a hair, and know that it's okay and normal for one or two stitches to be loose or pull out on a section you just sewed. Quilting is different from garment sewing in that a lot of quilters don't bother to backstitch.