This is absolutely the best method I've ever used for joining yarn when you don't want the bulk of weaving in all the ends, especially in a multi-colored project. I try to gauge the knot so that it is at the end of a row -- and I also give the knot a tug before I cut the ends to make sure it is as tight as possible. I've never had this come loose in any project I've ever made -- whether an afghan or clothing, etc.
Ukraine, from Iryna ~ fancy twisted interlocking stitchwork to join two pieces of fabric. Picture is big enough that I can see where the needle goes and how the thread wraps around in this embroidery technique. Try this to put together knitted or crocheted pieces?