Leave a little bit of the first yarn (maybe 3 inches) so you can sew it in later. Leave about the same amount of the second yarn when you start knitting with it. I saw a tip somewhere about tying the yarns together (LOOSELY so you can untie them later). You may have to pull on the ends for the next few rows to get them to stay tight, but that's pretty much it, and then you just sew the ends in when you are done.
There is a trick you can do with wool yarn if you spit on it and rub the two ends together you can actually join the yarns together (they felt to one another), but it's a little tricky and I have never actually figured it out.