When you change colors, you just start knitting with the new color....I know that feels strange when you are a new knitter, but it really does work.
This WOULD make a very WARM scarf. Men are all into "utility", so I thought it would be a good idea. You are right, though....If you used a finer gauge yarn, it would be less so.
As for quilt st-ing the edge....I cant find a good pic of what that looks like. I know Ive seen a link around here somewhere of edge-stitching pictures...maybe someone will share.
But, basically, you can flatten and sew up the ends however you like. You could even kitchener st them or do a 3-needle bind-off (Amy has videos) if you wanted a more invisible finished edge.