You're fine...all it wants you to do is keep it in the right place. It might be easier for you though if you had a different kind of stitch marker where you could just slip it from the left needle to the right needle.
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all you have to do is just pop it from one needle to the other....shouldn't get tangled with the yarn at all (unless you do what i do and accidentally knit it in sometimes I always just stick my needle into it purlwise and pop it over.