I tend to have that same problem. Lately when I break the yarn or I lose the end I twist it back when I pull it back out. I've found when it gets away from you it untwists and by adding a little twist back in by hand it helps get it back where it was before and will join better with out falling apart.
Also when you stop just wrap the end around the top of the maiden. It holds it quite nicely.
Have a great day!