The Yarn Harlot's new book Knitting Rules mentions several ways to identify anonymous yarn, including setting it on fire and dissolving it in bleach. I found a slightly less dangerous way: Shipping tags. You can label each piece of yarn with what it is and where it came from, like this:
Not the best photo I've ever taken, but this is my first bit of spindle-spun yarn after the wheel. The coloured parts are green and light purple and it's not big enough to hold together as a skein. I believe it's all wool, but I can't get any more specific than that. Love the tweed effect. Started a spinning page to keep track of things.