If you go to this page, Amy demonstrates a bunch of different joins. I definitely prefer a felted join if I can do one, but you may find that you like another one better. I think a lot of people like to just knit with both the old and new yarn together for a few stitches. That works too.
One thing I like to do for any felted join is to use the method Amy shows for doing two colors (where the ends are folded over each other instead of just overlapping), except that I snip off half the plies from each end first so that when the join is made, it's the same thickness as the rest of the yarn instead of double. It also just seems more secure than just overlapping the ends.
The join I tend to favor for non-feltable yarn is this technique by Eunny Jang. (Scroll down a bit. It works for thicker yarns too -- not just lace.)