If you hold the tail and the knitting yarn together, you're knitting twice as thick.
Here's how to do it (no pictures I'm afraid):
1. Hold the 'tail' DOWN and knit a stitch (main yarn above the tail yarn)
2. Hold the tail UP (best to flip it over the knitting towards you) and knit a stitch (main yarn under the tail yarn).
That will weave the tail in the back of the knitting without it showing on the front or adding extra thickness. Doing that for 10 stitches or so will hold it pretty well, do more if you like. Then you can trim the tail off (leave 1/4" if you like).
If that doesn't make sense give me a shout and I'll take some pictures.