When you start the braid, you tightly pinch the ends of the strands together. After you've come to the end of the strands, you also pinch them together, then tuck both ends under to keep them from coming apart while baking. You'll want to pay special attention to this step. Sometimes despite your best efforts, the ends will come apart while the challah is baking. I call these lobster claws, and while the challah won't look quite as neat, it will still taste fantastic.