I stumbled across instructions for making your own self-striping yarn with dip dyes. There are other ways. You can hank the yarn in several sections and spray or squirt dye on them. You can tie lengths of pre-dyed yarn together, which is sloppy but the way people often do it. Or to get clever, you can splice the different colors. There are lots of ways to join yarns. One of the most efficient ways is to spin it -- a lot of handspun yarns have two or more colors twisted together. Splices blend right in, whether you are doing it on the wheel or while using the yarn.