As this is something that should be nice and thick to provide the best insulation, I thought of using wool that I could felt. Too bad I don't have any bulky or chunky weight yarn on hand.
Then I remembered that twined knitting makes a thick fabric.
I experimented with it. In no time I was frustrated by having to stop to untwist the red and gray balls of yarn as I went along. With a little more experimentation I figured out a way to hold one yarn in each hand. Clumsily, I plodded along, dropping my yarn, losing stitches from the needle, getting my right and left confused...you get the idea. I was back in kindergarten, learning how to hold a pencil properly.For several rounds I wrapped the red yarn around the working needle backwards and ended up twisting the red stitches. After I got that glitch worked out things sped up and I was able to finish the project quickly.
The wool did not shrink as much as I expected, but it still will work pretty well. I would like to try again with heavier weight wool.
I have heard that the twined knitting technique makes a thick warm fabric. Now that I have experienced it for myself (and knowing what a freeze-baby I am) I plan (at some unknown time in the distant future) to make a warm winter tunic sweater for myself with this technique.
I found this video clip demonstrating the technique.
