Basically when you get to the point where you want to join the orange, you're going to twist the orange thred together with the brown to "join" them, and continue knitting with orange, dropping the brown, then picking up a new thread of brown when you get to that colour again. Here's a picture of the back of the colourwork I'm doing currently. I'm sure everyone who's seen me answer a question on intarsia is sick of seeing it by now
You can see where the yellow and white meet that I've twisted the yarn threads. I believe you twist the new yarnover the old one to prevent a hole. However, should you get a small hole, you can close it when you're weaving in your ends. I have a hole or two and will need to do this when I am all done.