Thanks for the compliments :-)
The double roll is achieved by reversing the direction of knitting. You knit in the round for approx. 3", then you actually turn your work around, slip the last stitch knitted over to the left needle and start knitting the opposite way. It sounded confusing, but was acutally pretty easy. After you knit another 3 " or so, the double roll starts to appear!
The yarn was a very thick wool -- I got it in this kit:
Does anyone else routinely use the magic loop method for small diameter knitting? I just learned it to make a sock, and was using it for the decreases at the top of the hat (instead of DPN's). Can you use magic loop for any small diameter situation?