A ball of yarn is too large to pass back and forth through the shed so you can wrap the yarn onto a shuttle. To make a shuttle I used the wood left over from the heddle. The wood you use should be fairly flat. I cut a notch in both ends roughly 1/2in wide and 1/2in deep. I then sanded the shuttle with increasing grit sandpaper so that it is nice and smooth. You can make several of these so that you can weave with several different colours.
Now we are ready to weave: http://www.instructables.com/id/How-to-Weave-on-a-Frame-Loom/