I just learned this a few weeks ago! There are many ways to do it. If you're having trouble with Amy's instructions, try the link below for an alternate method using a crochet needle.
I tried a few other methods, but I liked Amy's and the crochet method above the best. I like Amy's because you can cast on directly to a circular needle cord instead of waste yarn, but I think the crochet one is easier to do. HTH
I just noticed Ingrid posted before I finished my answer! I think the one I linked might be similar to one she did, but there's a video so that might make is easier to follow.