I have done exactly one steeked sweater (and I got much help from Ingrid's very good information in the sticky thread about steeking). I did sew mine down though.
I just looked in my copy of Knitting Without Tears by Elizabeth Zimmermann. In the sweater she is describing she didn't really add extra stitches for a steek, but she did sew and cut holes for sleeves. She is working with wool and what Ingrid said about the cut edges felting to themselves would work only on wool too. But on page 62 EZ advises to use a steam iron to press the steek to the back and then to sew the edge down with a herringbone stitch or any other type of whip stitch. And for the sewing she suggests thin wool or sewing thread.
I did a steek as Ingrid teaches but I did not press the steek back; I just turned it back to where it should be and then I used sewing thread and a whip stitch to sew it down. I caught completely around the first stitch of the steek edge inside the sewn part and then divided the yarn with my needle on the garment side of the sewing so that it would not show through on the outside. I made one stitch in each stitch of the steek. My result is that all of the frayed, cut edges of the steek are turned under and it is sewn down so they will not get out. My sweater was wool as well, just in case you were wondering.