When you're doing two-at-once socks, you have 2 strings that tend to wind around your dangly socks as you knit and turn and knit and turn...
If you are a bit careful, you can check before you turn your work every time, to make sure you aren't tangling. I find this works for 2 strings, but if I'm doing something that requires, say, 2 strands per sock (colourwork, mosaic knitting, illusion knitting,...) then this becomes impossible pretty quickly. The yarn winds around the socks, around the other strings, and pretty soon it's a mess.
Best tip ever:
Put the wool balls inside the sock they belong to!
Close the bottom of the sock with a safety pin or similar (if required - toe-up socks are already closed at the bottom!) so the balls don't fall out. Feed the wool up to your hand from the inside. No more tangles! This works best if the balls are hand-wound centerpulls - these are smaller and tighter than commercially wound ones.
This works exceedingly well for gloves/mitts as well. Feed the yarn up through the finger you are knitting.