Depends who you ask. I have done both. I think I prefer knotting, because it feels more secure to me, but sometimes the knot shows. If you take several stitches with both strands of yarn, and work tails in later, it holds well, but may show a little lumpy in that spot depending on the yarn you use. Some people say to just take ONE stitch with the two pieces of yarn, and work the ends in later, but it just makes me too nervous that it will come undone in washing, so I don't do that.
You can always try both and see what you feel best about.