Have you tried the pinhead stitch? It works beautifully. I use it to both start and end my stitches. You can find a tutorial from Scarlet Quince in the links below:

This link takes you to the pinhead stitch that anchors your thread at the beginning of your stitching: http://www.scarletquince.com/pinhead_linen.php

This one is to end your stitching: http://www.scarletquince.com/pinhead_linen_end.php

As a side note (you may or may not want to do this)...I saw on another site that a stitcher places her ending pinhead stitch in a nearby empty block on her fabric, typically in a block where the fabric threads run vertically so that the pinhead stitch blends into the fabric. I tried this, and I love it. I do it on my Aida projects and my evenweave project. I try to be careful not to put dark colors in blocks that I know will be covered with light colors, but generally, that hasn't been an issue for my projects.

Hope that helps!

Scarlet Quince site was very helpful. Thanks