There are many different ways to join a new length of yarn to the one that is already being used. Like most knitting techniques, the method you choose depends on your personal preference and the specific project situation. Experiment with each and pick what works best for you!
No, you are not mistaken! This method of joining does involve a knot of sorts, even though they are usually avoided at all costs in knitting. This knot is smoother than most and will not slip. The ends can be woven in afterwards.
Begin by making a slip knot in one of the lengths of yarn.
Thread the second yarn end through the slip knot loop.
Grasp both ends of the yarn that holds the slip knot and pull them slowly as if to undo the knot.
Stop pulling once the second color of yarn gets drawn through (in the example, the pink yarn has been drawn through the grey).
Tug on the two lengths of working yarn to tighten the join. Continue knitting and weave in the ends later.