Vickey, you can buy yarn bobbins for just this purpose. The difficult part is in knowing how much to cut off and wind on a bobbin to start with. If your pattern has an accurate yardage estimate, that's a good thing. There will still be some twisting if you're working with several colors, but then it's not a big deal to just lift your piece until the bobbins are all in the air and let them untwist once in a while.

Here is a link that might be useful: YARN BOBBINS

And do not knot your yarn when you change colors. Carry your colors behind the work on the bobbins Donna mentions, or cut the yarn and work a couple of inches of the 6 inch tail into the back of the work with no knots.

I once knitted a vertical striped top. Every row, all the colors twisted, and once I had the skeins lined up right, on the next row they untwisted.
But, I had to sit on the same chair, with all the yarn lined up to finish that top. Never did one like that again. :)

Moni

I used pieces of cardboard cut in the shape of an "I" to make bobbins. Or, you could make butterflies and re-wrap them after each color.