I like to use a clear hose on the bleeder so I can see whats going on.
Looping the hose over something higher than the caliper allows air to rise and fluid to fall. This way you can keep the bleeder open and just pump away without worrying about getting air in the system. Make sure the bleeder is at the top of the caliper, I have seen people install different calipers and the orientation of the bleeder is wrong.
Doing it this way allows you to push air out of the system easier than the old ''pump pump open'' method. Keeps the air bubbles moving out rather than letting them float back upstream when you stop to ''pump pump open''
P.S
Teflon tape on the threads of the bleeder can be counter productive, the bleeder seals at the bottom cone shaped area not the threads.