I made these, but I don't remember even doing that part. Not sure if I just blew it off or what, but there is no loose thread in mine so..
I'd have to make them again to understand why the working yarn is done that way, but I do know that by dipping the needle under the yarn and over the yarn alternately you will be securing a loose yarn. That's how you do it in fair isle so you don't get long loops.
ETA: My DH was looking over my shoulder while I was looking at the pattern (don't you hate that!)..anyway, he had a confused look on his face and said the pattern just looked like Cyrillic to him.
Maybe we could use patterns as code so the guys won't know what we are talking about!