To prevent tunneling, I usually use a multiple-stitch zig-zag to finish edges. It uses a bit more thread, but is very flat. I generally use a 3 mm width and a 1 or 1.5 mm length. I also use it for understitching, especially on curves, because again, it holds the inside seam edges very flat.

If you want to use a regular zig-zag stitch, loosen your tension a bit and hold your fabric taut to prevent tunneling.