I've done it both places. Doesn't make much difference. If you attach it further down the string, it will wrap around it several times until it is almost tight to the string. They both work, just have to take a few seconds to unwind it every now and then.
Also, if you use a light enough string, and/or fray the end, don't really need the feather. I've always felt that it could spook a critter at close range.
One additional thing you might do is tie a light piece of thread directly behind the broadhead on your no. 1 arrow. Then, when you have an arrow nocked on stand, you will always know the wind direction, even as you're readying for a shot.
I use both bow tip and arrow wind indicator threads. One works while walking/stillhunting, the other while on stand.