I think on the videos she knits the tail in with the first few stitches, but you don't have to. I just let mine hang and thread it through the sts later on. So don't worry about where your yarn is, it sounds like you did it right. If there's a different cast on, the tail will be in a different place. But you don't need to pay attention to it anyway, just get the sts moved from one needle to the other.
If you go to the Tips pages there's a video called Demo of a Small Project that shows CO, working a few rows then binding off. That would probably help you see what to do after casting on.