Don't worry about cutting the threads each time you finish a line - just move on and cut them all off at the end (along with the excess fabric if you're doing applique). A small stitch length is essential. The instructor told us that faster stitching is less jumpy, but for tricky bits I found it more accurate to stitch quite slowly. In any case, there's no point trying to be too neat as the machine has a life of its own and even experienced machine embroiderers go off the lines (or that's what I told myself, at least). The wiggly lines and imperfections add a certain je ne sais quoi!
And here is my finished effort. It's a cat, in case you couldn't tell! A kitty on its last legs... in fact, he probably can't even stand up anymore. Content, but falling apart. Awww...
[Soundtrack: 'Lilyputt' by Beth Jeans Houghton]