I always knit with 2 strands to work the old one in. This is how I do it.
Starting a new row, knit with the old yarn for 1 stitch, then go into the second stitch like you normally do and just put the new yarn over the working needle. (I make it into an upside down U) and pull it though and take the old stitch off the needle, like you normally would. (If you know the knitting rhyme, you would peek through the window and off jumps jack, if you don't just forget that part, it won't help).
Then I pick up the old yarn and new yarn together and knit with them both as if it's one. Just knit it a little tighter than normal. And do this for at least 3 stitches, I'm a little anal and do it for more like 5 or 6.
Then just leave the old yarn behind and cut it later. You still have the other tail to work in, but you have one less now.