Hmm. I totally disagree. There is no doubt that, if you draw the perpendicular to the terminator and extend on the bright side of the waxing gibbous moon shortly after sunset, it is pointing upward into the sunless sky, as diagrammed by Jason. Of course if you allow yourself to follow a curved line, as Jason and Tony do, you can convince yourself that there is no discrepancy, but it isn't sufficient in itself, particular as the curved line is almost defined by being at right angles to the terminator.

The issue may be a misinterpretation of relative distance to sun and moon as Jeff suggests but even that doesn't seem sufficient to me. I think it's more likely a misinterpretation of the absolute distance to both sun and moon. If they were fixed in a sphere about 5km (3 miles) away, ie. horizon distance, rotating about me personally, you might expect the moon's terminator to lie perpendicular to the line to the sun. Being off equator on a round planet that rarely obstructs the moon's illumination, the geometry is more than we can instinctively cope with. (Intellectually - that's different, of course).

I'm sure these shadow lines will not be angled in the same direction. Can anyone manage a photo of a rising moon 4-5 days before full (next couple of days), plus a tennis ball, just before sunset?