Using a Lifeline
A lifeline is a single strand of smooth yarn in a contrasting color that runs through every stitch in the row. If you need to unravel your work, the lifeline will stop the unraveling at that row, and all the loops can be put back onto the loom (or needles), so you can pick up and knit from there.
You can put in a lifeline while you're knitting (in case you're planning to make a mistake, or maybe you'll be switching stitch patterns) by threading the lifeline into the loop on each peg as if you're going to do a gathered bind-off. Make sure there's at least 6" extra yarn hanging at each end of the knitting.
When you knit off the next row, just take the lifeline along with the bottom loop.
After you knit a few more rows, your knitting will look like this on the wrong side,
and like this on the right side.
If you discover a mistake, and you're going to frog back to it, you can run a lifeline by catching one side of every stitch in the row (yellow yarn).
Either way, when you frog your work back to the lifeline, you'll have live stitches that won't unravel. Just slip them onto the loom, and you're back in business!
Lifelines are great to use also when you have a project on the loom, and you just have to use that loom for something else right now! Run a lifeline through the loops on the pegs, and remove your work from the loom. You can easily put it back on the loom later.
I like to use yarn that's thicker than the yarn I'm knitting with -- the thickness of the yarn keeps the loops larger and makes them easier to put back on the loom.