Well, here's what I've decided to do...
After a quick read through the PDF manual, I still can't figure out the suggested procedure for managing future project actions, so I've created a new category/action called Future Actions. Any action relating to a project which isn't next just gets dumped in this category. The second I complete a next action I then pick an action under the project I want to do next (in Active Tasks by Project view) and change the action from Future Actions to whatever applies.
So far, it's working fine and seems to be making me work through projects much quicker.
Btw, do you guys ever write a to-do list at the beginning of the day with a few things you want to focus on? Or is this against the rules of the GTD system?