Does your machine have a locking stitch? If so, use that. Otherwise, do as amma says and reduce your stitch length to .05 or as low as it goes and then lay down 3-5 stitches on top of each other. Then, with the needle still down, reset the stitch length to whatever you want and then sew away. When you get to the end, reverse. Decrease the stitch length then do 3-5 stitches to lock it.