Personally I don't - confession time again!


Reason being, there is 1.5 - 2 turns of hackle, stripped on one side (usually) and wrapped in turns so close they are practically on top of each other. Consequently, there is very little 'between' to wrap the thread in between! Without unintentionally misaligning barbs etc.
As Mark says, it is what works for you, and what works for me is this:
Make body of fly, tie hackle in by the tip with three touching turns back towards the eye. Then wrap hackle twice (for fishing, I find that flies seem to catch better with a bit of a 'fuller' hackle than seems fashionable for the true 'sparse' look. I've managed to satisfy myself that this is true this season, tying and fishing different versions of the Greenwell's Spider - but I digress.)
Then two touching turns to secure the hackle, again back towards the eye, then snip off waste, then three turns whip finish, well waxed.
The trick is to tie in the hackle at the right place, so that there is no appreciable build up of thread as you come back towards the eye, and the turns of thread are not 'on top of each other' but touching, so securing the hackle to the maximum effect. As I say, it seems to work for me.
Dry hackles are a different matter though - do wrap back through the hackle in that case, but there is something there to wrap through.
I will probably start a riot with this now, won't I?!

Andrew.
Edit: Something else that I suspect adds to the longevity of my flies is that the vast majority of my fishing is done on small streams, with very short, often not much more than rod length casts. So my flies are seldom subjected to that build up of speed through the air necessary for longer casts - I guess that must make a difference for the more delicate hackles Jerry is talking about.