This is the most frustrating part of sewing with a sewing machine but is easily rectified when you know how!
When you finish a row of stitching, use the needle up button or the kick back function on your foot control. This means you have completed a whole stitch and ready to begin a new one.
Taa Daa!
No more unthreaded needles!
Alternatively, you can remember to keep hold of the threads for the first few stitches every seam.