When joining new yarn if you are using an felt-able yarn (animal based and not super-wash) then this is a very effective join.

Separate out the plies at the end of the old and new yarn.

Break half of each (if 2 plies, break 1 of them). Uneven breaks are better as they will felt together more effectively.

Layer the old and new yarn together.

Dampen the palm of your hand and the yarn (sometimes people use spit – so this is also know as spit splicing!).

Roll the palms of you hand together with the ends between them until they have felted together and the join is secure.
Finally give the join a twist to imitate the natural twist of the original plied yarn.