I usually hold the old yarn and the new yarn together and knit a few stitches like that. Then I drop the old yarn and continue with the new. When I go back and look at this later, I can't even tell where the join is. I have to look at the WS to find the tail (which I, of course, weave in at the end of the project).
By the way, there's not necessarily a right way or a wrong way to do things in knitting (after all, there are no knitting police). It's personal preference, so if your way works and you like it, then you're good to go. However, if you don't like it, there are several other options--some presented in this thread, and others you can find by doing a general search for "joining new yarn in knitting."