You're lucky you even had pressure. A friend did that one time with his car, I was helping him out but I didn't do the filter. Oil pressure wouldn't even come up. We caught it quick, though, and didn't have too big a mess. It wasn't the only oil stain in the driveway.
I always check everything for leaks with the engine running, too. When I start it up, I make sure oil pressure comes up, then I go back and look to make sure I don't have any leaks, and I feel all the way around the oil filter to make sure it's tight enough and there's no oil seeping out.