I found that if I hold the fabric back at the start of a line of stitching, the stitches are very small. Then I don't have to fiddle with the stitch length control. In other words, have a tug of war with the feed dogs.
The trick to burying threads is to use a self threading needle. If you don't have much thread tail, sew the needle in first, before you thread it.
Work from the back, knot the two threads together, and stitch them back into the last hole they came from. Run the needle through the batting (between the layers) until the knot pops into the fabric. Come up and cut off the thread right there.