Cap'n Mermaiden's

Take a piece of fleece, some crochet thread, and a steel hook.

Using your hook, pierce a hole through the fleece. Make the hole about a half a centimeter down, and about the same from your right edge of the fabric.
Pull the thread through

To use worsted weight yarn, you might wish to pre-pierce your holes around the fleece edge with an ice pick, scissors, etc. Then you can use regular yarn and an appropriately sized hook.

You can buy some plain fleece at these places:
http://www.fleecelady.com
http://www.twinfabrics.com
http://www.picotextiles.com
http://www.syfabrics.com
http://www.totallyfleeceinc.com