When I helped at a community service event, I started making individual ties. Small stitch, pull through, tie and cut. Start over. One of the ladies showed me what has been described in the other answers: To start with a long string and take the first small stitch then make another small stitch about hand-width apart - keep going until the thread is used up. Then she told me to cut the threads halfway between the stitches. Now I used those ends and made a square knot or a surgeon's knot.
A friend of mine ties hers double - she takes one small stitch and takes another small stitch in the same spot, then square-knots the thread.
I never really found a real liking for it.