Instead of yarn, I grabbed a spool of ribbon (one of the many left over from my wedding :) ) and made a loop chain (finger weaving?).
To do this, make a loop at the end of the ribbon big enough for your fingertips to fit through it. Next, stick your fingers through the loop and pull the ribbon through. This forms a new loop through which you will stick your fingertips in and pull the next loop.
(sorry for the blurry picture)
Continue this looping process to the desired length.
I made my loop chain long enough to be a bracelet wrapped around twice.