That happens, so you're not really doing anything wrong, you just need to learn a couple tricks to prevent it. One is slipping the first st, but that doesn't work for me; my sts wind up looser than just knitting them. So I knit or purl the first st, then pull the yarn a little, and work the next couple sts a little tighter. Pulling the yarn tugs up the extra from the end of the previous row (right under that first stitch), and seems to work for me.
sue- knitting heretic