Step 2: Knit
After casting on, purl one row, then knit the next row, and repeat this back and forth pattern. If your head is about as big as mine, you should stop knitting once your piece is about 17 inches long. To make sure the headband will fit, wrap the piece around your head to make sure that it is the right length.
Once the piece is the appropriate length, cast off.
Step 3: Tie
Step 4: Knit some more
Step 5: Cover
Sew the ends of that piece together with some yarn and tie it off. The sewed together part should be on the back of the headband. Cut off any loose pieces of yarn.