OK, deep breath....
Are you at the end of a row? It will hide the transition better if you are. If not, consider unknitting to the beginning of your last row.
Hold the end of the thread of the new skein about 4 or 5 inches from the end, while also hold the end of the previous thread in the same hand (you'll need a few extra inches on this one, too). Make your next knit (or purl) stitch by inserting the needle as usual, and then pulling through the yarn from the new skein. You'll need to hold onto the end of both yarns for a couple of stitches or it will get really loose. After a couple of stitches, make a loose knot (that you can undo later!) with these two threads. When the project is done, you can weave these two threads back into the work and they won't even show.
Hope this helps!