I've never knit the tail in (okay, maybe only once or twice), so you don't have to - it's just a preference. The trick is to not use so much for casting on with. If you start it over one more time, use less and there won't be so much tail. But I do second the recommendation to keep going. The first row never looks like much anyway, so you need a few inches to see if you're knitting okay.
BTW, I suggest you just CO about 20 or 30 sts for practice instead of trying to make something. Practice a few inches of knit every row, then switch to knit a row, purl a row, then you might want to try some increases, then decreases, then ribbing. By then you'll have made something - a nice sampler.