I've seen these floating around the internet, but not much instruction, so here it is. Yarn falls are often just locks of yarn attached to ponytails, but these are braids.

Things needed:
LOTS of yarn
2 Hair Ties
Something to wrap the yarn around
---I used a block of wood with nails in it that i use for other things
Scissors

Step 1: Cutting the Yarn

Wrap the yarn around some immovable object, the length that you want them to be (keep in mind that is will be a little smaller.
You might have to do with more than once, but once you are finished just cut it off, tying them together at the top so that it doesn't all fall apart.

*My red yarn is all odd and curly because I had used it in another project that i didn't like

Step 2: Tie the Yarn to the Hair Tie

Grab a clump of yarn (how much is up to you and whether you want the braids thick or thin)
Find the middle
Tie it to the band with a simple knot and a piece of yarn

Step 3: Twisting

Actually making the braid is fairly easy, all you have to do is twist the yarn, the trick is that each strand has to be twisted the same way, them when twisting them together they have to twist the opposite way, or else it will all just fall apart.

For this step you kind of need three hands because the base/end had to be held in place so you can get someone to help you or loop it around some sort of post or something...

Step 4: Tying Off

Tie off the ends with another piece of yarn, and then trim off then ends to make it even.

Step 5: Done

I ended up adding more braids to my falls because they didn't seem full enough.
In the picture you can see that the thickness is varied and that many color variation are possible. You can even make the braid with three strands and use more colors.
To put it on I just tied my hair into a pigtail then twisted it the same way as the braids, or you could also wrap your hair around the base, sort of making a bun.

yay, you now have some yarn falls, now you just have to pick out some awesome colors because i must say that mine are a little dull : /