First of all, WHY should you do a Russian Join?
This join is a great way to splice yarn when using multiple colours (making stripes in a blanket or shawl, for instance.)
It leaves you with no ends to weave in, which is great for moving objects from the WIP pile to the Finished Object pile!
Using a thin needle (I’m using the smallest in my Susan Bates Finishing Needle Set, weave the yarn end down through the remaining yarn for at least 2 inches. (You can unwind the plies slightly to make this easier, but it’s not necessary to do so.)
Pull the yarn through, leaving a loop at the end.
Pull the yarn from the new skein or next colour through the yarn loop, and weave it back through itself.
Pull tight, smooth the yarn strands over the woven yarn, and trim the ends.
You’ll have a slightly thickened spot where the two yarns meet and are woven through themselves, but it’s much easier than (and as undetectable as) weaving in ends.