To change colors every few rows, drop the color you are using to the inside of your loom. Place the new color on your loom using a slip knit and knit around. Twist the two colors each second row, to prevent long strands across the back of each stripe. Change back to the original color by dropping the second color to the inside of your loom, pick up the original color from underneath the strand and knit around.
Other (more conventional) methods of changing colors, patterns or yarn will be discussed later!