Knit to the point where you want to change colour
Drop the old yarn, leaving a short tail
Pick up the new yarn
Leave a tail of the new yarn to weave in later
Knit the next stitch with the new yarn
Keep the yarns snug but not tight
Continue knitting with the new colour
Weave in the ends when finished
For a cleaner join, change colours at the start of a row or round
For stripes, carry the unused yarn loosely up the side if needed