I'm Preferred on US Airways. My experience has been that the agent will add me to the waitlist and tell me to board. Then, if I clear for First, the agent will come back and move me up. I've never had a problem with doing things this way, except one time when the agent specifically told me not to board, and another time when the agent didn't actually add me to the list, even though she said she would. Ha! From the sounds of it, though, it's not always safe to board and expect the upgrade if room opens up. Maybe I'll start to "play it safe" and wait at the gate.