This might not be kosher with out knitting purists, but after I get to the "last" stitch in the round, I pick up one extra stitch from the cast-off edge of the first stitch, and then cast that one off as well.. THEN run the tail through and all that. I don't know if that makes the join neater or anything, but I picked that up from another knitting friend, so that's what I do.
Yet another option..
I use a crochet hook and single crochet the last stitch to the first stitch of the round, then bring the yarn tail through the stitch and weave in the end. I think it smooths out that last stitch nicely.