Strengthening Yarn / Paintbox

Is there a way of strengthening yarn? I bought a few skeins of Paintbox Tandoori to use in an afghan, and noticed that it tends to pull apart rather easily...or is this even something I need to be concerned with since there probably won't be much pulling in opposite directions once the yarn is actually knit?

I suppose I could two strand it, but that would be a tad expensive in the long run.