Just pretend you're doing a regular YO and the yarn will sort of go over the needle from front to back. It doesn't seem stable, especially when you slip the stitch right after it, but it'll stay, and the edge will turn out quite nice-looking, even without adding selvages.
There is no right way to knit; there is no wrong way to knit. So if anybody kindly tells you that what you are doing is "wrong," don't take umbrage; they mean well. Smile submissively, and listen, keeping your disagreement on an entirely mental level. They may be right, in this particular case, and even if not, they may drop off pieces of information which will come in very handy if you file them away carefully in your brain for future reference. ~Elizabeth Zimmerman