Crossing the yarn will prevent a hole from forming when you change colors. All you need to do to "cross" your yarn is bring the working yarn up and under the yarn you just stopped using. Basically you're just twisting the new yarn around the old yarn to prevent any holes in your knitting. You want the old yarn to lie on top of the new (working yarn). Amy has a video
HERE (under How To Knit With 2 Colors At A Time) that can show you what you need to do. It'll probably make more sense than what I'm explaining...lol