The good news is, you're not doing anything wrong.
Otherwise, it adds it AFTER the most recent track added using 'Queue Next' but before any tracks added via 'Queue Last'.
That is how Queue Next works, by design.
The bad news is, I don't think there's any way to select a track and have it play next regardless of what else is queued - well, except for manually positioning it in the Now Playing list, which isn't very convenient.
In a literal sense, right now
Queue Next probably doesn't do exactly what it says if used to queue multiple tracks, but it's never been raised before so I guess most users don't mind. For myself, when I'm choosing songs at random I find it more natural to hear songs played in the order I thought of them - otherwise the first song I thought of would be the last song I hear.
Bee excellent to each other...