There are basically two ways of knitting with more than one color. One is stranded knitting* and the other is intarsia. With intarsia, you work along in one color and then change colors when you need to. You wrap the yarns around each other so that there are no holes.
I'm working on this map of the world afghan which is intarsia. It is working out better than intarsia has in the past. My problems** have been with things other than the knitting itself, which is encouraging. I may pick up the intarsia sock pattern I charted a couple of years ago and give it another try.
*go back four days for my rant on this subject **problem 1=chart reading problem 2=stubbornly using one aran weight yarn when the rest of the afghan is worsted problem 3=cats thinking that yarn bobbins make swell cat toys