Since I don't know what your pattern is, I'll address this in general terms.
Usually, you knit across the first shoulder side with the yarn you've been using all along. Then you use a new ball and attach it--as you would any new ball--even a small knot is fine, and bind off with the new ball for however many stitches they tell you. When you get to the other side, you knit across them to the end. Now you will have both shoulders on your needle with a gap between for the neck and a strand of yarn attached to each one.
At this point you follow the directions and knit each one with it's own yarn. They will be on the same needles.