I'm not sure of how to say this in English, so I hope it makes sense...

What I do when I run out of yarn is leave a "tail" hanging, then take the next ball of yarn, also leave a bit of yarn hanging, and then start knitting as usual. It should look as if there were two "tails" at the point you changed yarns, and you can tie them up when you're done.

Um. That looks confusing. :(