I've been working on some pieces using two strands of yarn, and switching skeins for different colors. It's been messy, since I'm carrying the yarn on the inside of my knitting instead of cutting the yarn with each color change. I've been using the beginning and ending tails of each skein, and learned my lesson to not do that anymore. I've spent more time untwisting; it's just not worth it!
I don't have a yarn ball winder, but I found an excellent description online on how to make a center pull ball by hand. I can't find it again, but here's how it works.
Step 1. Leaving the tail hanging about 6", wrap the yarn around your fingers about 10 times.
Step 2. Remove the yarn from your fingers, and grasp the folds in the palm of your hand.
Step 3. Hold the yarn secure with your ring and baby fingers, and pinch the upper part with your thumb, index and middle fingers. Wrap the yarn at a diagonal around your thumb and upper fingers 6-10 times. Wrapping around your thumb and fingers prevents the yarn from being stretched when it's wrapped, even if you stretch it unintentionally when you are wrapping.
Step 4. Remove your thumb and fingers from the wrapped yarn, turn the yarn in your hand about 1/5 turn, and pinch it again. Wrap at a diagonal again.
Step 5. Continue wrapping diagonally and turning the yarn. Allow the folded ends of the yarn to stay uncovered. If the ball gets really big, you can wrap over the folded ends at the top. But make sure the starting tail remains free.
Step 6. When you get to the end of the yarn, wrap it under a few strands a couple times to secure it.
To use the yarn, pull on the long starting tail that's hanging out. The folded yarn that's sticking out of both ends will be used right away.
I now have the two balls of each color in their own zip top bags. After I've changed colors several times, I just reposition the bags to undo the twists that occur each time I pick up a different color. It is so much more manageable, and was definitely worth the time spent.