You can just start knitting with it!
Seriously, it actually works.
I have a trick I do, since I'm seriously horrible at weaving in ends. Knit your first stitch with the yarn, which will help secure it. Then for the next few stitches, pick up the yarn and the tail together and knit with them both (just like Amy advises us to do when we very first start a project). You won't have to weave in ends that way.