First I weave the yarn back and forth through the purl loops.Then I turn and pierce the woven in yarn on the first loop of the tail on the bottom. Piercing insures the yarn will have a difficult time unweaving itself.
Continue piercing the bottom loops of the tail working back towards where you started.
Once four or five loops have been pierced, pull the yarn all the way through and clip the ends, leaving about 1/4 inch of yarn. Give a slight tug and the ends will disappear into the tail.
This works especially well with superwash and non-wool yarns that can't slightly felt with use.