Or you can doubleknit it, and it ends up in a tube... Before I made my dpn's, this is how I did it.
CO 4 st (or however many you need for your Icord)
Row 1 - Sl 1 pwise with yarn in front, knit 1, slip 1 with yarn in front, knit one
The stitches that are slipped (always with the yarn in front!!) on one side are knit on the other. This makes a tube very similar to Icord.
Turn and do it again. Over and over and over and over and...