Doing it the way you're trying, I find that gluing the binding to the back before stitching keeps it nicer looking. It takes practice to be able to get that back stitch line to not look awful.
I know a few people that do like Emmy Sue does - sew it to the back, then fold to the front and stitch with a zigzag or decorative stitch. I've tried it, and I like it; it's a chance to use all my machine's fancy stitches that I never use otherwise.
My favourite way, as long as it works with the design of the quilt, is to do a flange binding. MSQC has a video on this now:
http://www.youtube.com/watch?v=HAQWwwAa2K0