Do you know how to start a new ball of yarn in the middle of a row (i.e. you are knitting something that is all one color but you come to the end of your ball)? Start the intarsia the same way, just pretend you have come to the end of your first ball and now you are starting your second.
But I was taught to start new same-color balls by working 2-3 stitches double-stranded (then drop the old and continue on with just the new). Doesn't intarsia make a clean change of color?
(I've been too cowardly to try color changes yet; I've dealt in texture, and let variegated yarns change my colors...
Oops, should have clarified that bit! Yes, when you are changing between balls of the same color, knitting a couple of stitches with both balls of yarn helps to anchor the ends and keep things firm. In intarsia you don't do that--just drop one and start with the other (so you make a clean color change). It does mean that when you are knitting back across that first 2-color row there will be a couple of loose stitches at the color change, but it's only for one row. And you can tighten them up when you go back to weave in ends.
You should absolutely try color changes, they are really not hard at all! And working with different colors in one project is really fun. Adding a little color is also a great way to use up small amounts of yarn that you may have leftover from other projects.