I do both, it just depends on the situation. If I'm quilting something complex where I'm breaking thread in the middle of the quilt and I think that starting with some tiny stitches will detract (for example, if I were quilting with a thicker contrasting thread on a section of solid colored fabric) then I bring the bobbin thread to the top, tie a knot and bury it in the batting. Most of the time I do the tiny stitches at the beginning and end of a section of FMQ since it is really hard to detect if you are using a matching thread that is 40wt or thinner, esp. on a print fabric. And it is a lot faster than taking the time to knot and bury.
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