The Knot 

First tie a simple sewing knot as shown below:

Cut an 18" piece of Valdani thread and thread it onto a needle. At the end of the piece wrap the thread around your index finger so it crosses itself like in the picture above.

Pushing against your thumb roll the crossed thread together off of your index finger.

And voila- you have a little knot.

Sewing

You'll be sewing together Strip 1 so get out the ziplock with the number 1 on it.

Step 1:Pull your thread through 1/4" in from a corner of Square A.

Step 2: Turn Square A (yellow in this case) around so the knot is at the back and in the upper right hand corner. Place Square B (light turquoise in this case) against Square A so the knot is in the middle of layers. You will sew the squares together from the front.

Step 3: Put your needle in between the two squares and through the back of Square B, about 1/4" below it's top edge. Pull your thread through but don't pull it too tight.

Step 4: Now turn your needle around and put it in-between your two layers. Stick your needle into Square A from the back, about 1/4" to the left of your first stitch and also 1/4" from the top edge of the fabric. Pull your thread through.

Step 5: Now do the same thing to Square B. Turn your needle around, put it in between the layers, and stick it through Square A 1/4" down from the top and 1/4" to the left of your last stitch. Sew along the seam with this "fish tail stitch" by repeating steps 4 and 5 until the end of the side. It should start looking like the picture below.

 When you're done with the seam flatten out the 2 squares as shown below.

and pull your thread through to the back.

Flip the whole thing over and tie the thread to itself a few times to create a little knot. Pull the thread through a few of the back stitches. Try to hide the thread in the loft of the wool a little but make sure it doesn't show through to the front of the piece. Snip the end

Square A and B should be able to lay flat, right up against each other's edges like so:

Repeat the sewing steps to sew the whole strip together. Make sure to sew them in the proper order (sew Square B to A, C to B, D to C etc).