It sounds like you're trying to do intarsia, and you have to twist the yarns to prevent the hole. Hold your working yarn over to the left and bring the new color up from under it on both sides and you'll twist automatically.
Check out Amy's video on intarsia, too.
"Trust the pattern!"
Time flies like an arrow, but fruit flies like a banana.
Hop aboard while we follow the cloud-covered van of knitting harmony, man!! Woooo!! --Hedgehog
IngridKH on Ravelry