I'm another fan of the Russian join. It works on any weight yarn as long as it's not one-ply. The trick is to pull both loose ends through until the loops tighten on each other and then starting at the place where the loops intersect, gently pull both out away from each other with your fingers. Surprisingly enough, this does not result in a thicker join. You can leave the ends dangling on the inside, but if it's something like a scarf where they might show, just cut them close to the wrong side.