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You've finished your project, but now most likely, there is a "tail" of yarn, that leftover string, at the beginning and a tail at the end where you fastened off the yarn. There might be more tails if you have yarn color changes within the piece. It's important to secure and hide away these tails so that your piece really has that finished look and there's no risk of unraveling or fraying.
One technique is to try to hold the yarn over the chain into which you are working your stitches so that it just naturally gets weaved in during the making of the piece. Or, you can just wait until the end and use a smaller sized hook to then weave in the tails (be sure to pull the yarn through stitches on the wrong side of your piece a couple of times, each time pulling it through in a different direction). Or, you can use a yarn or tapestry needle, if you left a long tail, to sew the yarn through the piece.
There's no one best way to do this, and it's my least favorite part too, but it should be done (unless you're making something the interior of which is not going to be seen or is not at risk of unraveling, like a stuffed animal). Some people advocate putting a dab of superglue on the tied off knot to further secure, but I haven't tried that yet.