One benefit of weaving them in is that they won't get tangled when you do more quilting.
The class I took showed us how to pull the lower thread up using the top thread, then knot it, then use a needle to weave it under the fabric. Realistically, I just did this on my swatch quilt from the class. All the projects I've quilted at home, I do the lock stitch (my machine has a button to do this) or sew backwards trick.
I probably won't win any quilting awards, but at least I finish my projects in a decent amount of time.