Here is a little instructable for some hats I made a long time ago.
I made this from some left over fleece fabric. I recomend this fabric since it is warm and easy to work with.
Other warm fabrics are also good.
Step 1: Measure your head circumference
Take a tape measure and put it around your head and measere the circumference of your head.
A nice variation on this is letting someone else measure your head.