I got over my nerves and started the border on Rupa's Baby Blanket a few days ago.
I've adapted a pattern from Knitting On The Edge (excellent collection of edgings, btw). I'm attaching it to the blanket as I go by knitting the last RS row stitch together with a stitch from the body of the blanket. I'm happy with my choice to work the border perpendicular to the body of the blanket because I love the color effect of the Noro yarn.
I worked short rows at the corner. I'm a bit on the fence about the way the corner looks. I wish it was a bit more square, but the way I did the short rows, it ruffles a bit. I'm going to go with it, though; ruffly corners might be nice.