I tape them, but it also depends on what I am going to do with it and how much edge there is going to be sometimes it's just an extra unnecessary step.
I have some patterned packing tape right now that is super girly that I have been using. Normally, it's the standard masking tape or cheap blue painters' tape.
I used to put transparent nail polish but now I use blanket stitch. Is kinda of boring because I'm always excited to start a new work :D but I have to do the edges first :L