I copied all of the following from today's Knitting Daily blog post. Thanks, Sandi Wiseheart! (If you copy this from me, don't forget to give Sandi credit.)
Grafting On The Needles
Step 1: Knit your socks to the point where the instructions tell you to graft together the final stitches.
Step 2: Divide the remaining stitches evenly between two double-pointed needles.
Step 3: Hold both needles parallel in your left hand, so that the working yarn is on your right, and is coming off the rightmost stitch on the back needle.
Step 4: Cut the working yarn to a reasonable length, say, 12".
Step 5: Using a third dpn, PURL the first stitch on the FRONT needle.
Step 6: DROP the stitch off the left front needle, and pull the yarn all the way through the dropped stitch so that there is no longer a stitch on the right (working) needle.
Step 7: KNIT the next stitch on the FRONT needle, but this time LEAVE the stitch on the left front needle; pull the yarn all the way through as before.
Step 8: KNIT the first stitch on the BACK needle.
Step 9: DROP the stitch off the left back needle and pull the yarn all the way through.
Step 10: PURL the next stitch on the BACK needle.
Step 11: LEAVE that stitch on the left back needle and pull the yarn all the way through.
Repeat Steps 5 through 11 until you get to the last two stitches; work these two stitches together as established and drop both stitches off the needles. Pull the yarn all the way through. Thread yarn onto a tapestry needle, bring yarn to inside of sock, and weave in ends, tacking down the last "ear" loops as needed. (You can pull any excess loopage to the inside to make tacking it down a bit prettier.)
I made up a little shortcut chant for Nicholas to help him remember what to do when:
PURL FRONT OFF � purl first st on front needle, drop st off
KNIT FRONT ON � knit next st on front needle, leave st on
KNIT BACK OFF � knit first st on back needle, drop st off
PURL BACK ON � purl next st on back needle, leave st on
Hopefully Helpful Hints:
Keep your tension a bit on the loose side when you are pulling the yarn through each stitch. Then, when you get to the end, before you weave in the end, use your tapestry needle to adjust the tension of the grafting stitches so that they match the rest of your work. When you are working your knits and purls, pass the working yarn under and between the two left needles, not over them.