I wrap so that the quill step is pointing backwards, and the vane is facing forward. The feather vane will lean towards the nock end of the arrow. The alternative will have the vane leaning forward, towards the front of the arrow.
When I wrap, I glue the end of the feather in its starting place. When it dries, I glue and wrap the rest of it, starting at the glued end and working towards the free end. Then hold the free end with a clothes pin until it dries.
If you're like me, you will glue your fingers to the arrow shaft at least two times in this process.