If your tail keeps slipping off the needle, you may be leaving too short of a tail. My standard rule of thumb is 6-10 inches of tail length that I just keep toward the back (I have accidentally knitted my tail into my first row before, wondering why I ran out of yarn so quickly LOL). Also, make sure when you make that first knit stitch that you are only going under the front leg of the CO stitch and not underneath both of them.
Currently on the Sticks:
~Silver's Socks (3rd pair)
~Vintage style headband (my own design)