The easiest way to start a new yarn is to leave a tail about 6 inches long and just start knitting with it. The edge will be loose, but you can fix that at the end. I sometimes tie the to ends together loosely just so it helps hold it till I weave in the ends.
There's nothing special about how you hold your hands or anything. Just be careful that you're knitting with the end connected to the skein and not the tail. (Don't ask how I know..:shifty:)
There's some info here for different joins if you want to have a look.