it depends on many things. What are you making? Is it a sweater where the two sides will be seamed toghter? Is it one flat piece such as a scarf? Are you knitting in stockinette? Let the group know, and you'll get lots of responses!
Qucik answer. If it is a side that will be joined to another side, such as the front and back of a sweater, then what you are doing now is fine, you can joint the two sides using mattress sticth.
If you are making something flat, like a scarf in stockinette, try this. On the knit side, slip the first stich knit-wise. That means put the right hand needle into the first stich as if to knit it, but just slip it onto the right needle, don't actually knit it. On the purl side, slip the first stitch purl-wise.
hope this helps