I like to make them to keep my hands busy on road trips or while watching movies. They're low-key and relaxing. They're amazing demonstrations of non-Euclidean geometry.
Step 1: Materials
A bit of yarn (the color doesn't matter; it won't show)
Thread. One of the colors of threads will be used a lot. The grey one in the picture was used up. (I often use serger thread for this.) The other colors should look nice together. (I changed my mind on the design of this one, so the threads pictured aren't the ones I used.)
Maybe a flexible tape measure.
Scissors are helpful.