I always knot and pop the knot into the batting, as others have described. For me, taking tiny stitches at the beginning of the quilting line doesn't look nearly so nice.
But-on a cautionary note- if you have a lot of knots to do, be careful about pulling the knots tight against your thumbnail. I stupidly did a few hundred like that and the top half of the thumbnail lifted up. (It looked strangely white, which is a telltale sign). I had to cut the nail back to the point where it was still attached, which was at a spot you never see normally, and it took months of monitoring it and clipping it back until it started to re-adhere.
I was being prepped for a surgery soon after, and the nurse asked me how I injured my nail (it was pretty disgusting, having so much of the thumb showing), and I said, "Quilting." She looked startled, so I helpfully added, "It's more dangerous than you think."
I never did explain.
hugs,
Charlotte