Changing colors how? Are you making stripes, or a pattern in different colors?
The Advanced Techniques page has a coupla videos on working with 2 colors at the same time, the Tips page has suggestions for adding another color yarn. If you're just making stripes, you drop color A and begin to knit with color B. If you only do 2 rows with each color, you don't have to cut them, but can loosely twist them around each other along the edge you change colors on. If it's more than 4 rows, you probably need to cut the yarns and weave in the ends.