Russian Join
The Russian Join will allow you to graft two strands of yarn, so there aren't any knots in your work. I've done this with everything from #10 crochet thread to chunky yarn. It works best on worsted weight or thinner -- the bulkiness of the chunky yarn definitely showed where I grafted it after knitted, but it did work.

I used different colors of yarn only to make it easier to see the which strand is which. If you have any questions or comments, please
e-mail me.
Step 1: Cross your strands so they overlap on each other, and thread one of the strands through a needle.
Step 2: Weave needle in and out of the same strand of yarn it's threaded on. I tried running the needle through the middle of the strand of yarn. It's doable, but it's more difficult, and weaving it in and out makes it less noticeable--which surprised me).
Step 3: Pull the needle through, and repeat Step 2 until about 3"-4" of this strand is grafted.
Step 4: Repeat Steps 2 & 3 for the second strand of yarn.
Step 5: You can clip the excess yarn now, or you can clip it after you knit (or crochet) past the part where you grafted. I've done it both ways.