I like to use a variation of the provisional cast on. Instead of casting on stitches around a piece of waste yarn, you actually cast on around the yarn tail.
Here's how it works. (Make sure to watch all the way to the end because there is a pro tip for keeping the cast on ring closed.)
Disappearing Circular Cast On
If you'd like to give this cast on a try, it works nicely with the "Feeling Loopy Socks" pattern available in my shop.