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Often, a yarn of good quality or a hand-spun yarn come in a "hank", which is made up of long loops of yarn that is then folded and twisted together. Do NOT try to use a hank of yarn as is -- you just have to wind it into a ball first. This is usually not a problem because the store where you bought your wonderful new yarn probably has a ball winder and "yarn swift" that you can use, but if you don't have access to a yarn swift, just untwist your hank and place the loops of yarn on the back of a chair, around someone else's arms, or around your own feet (makes for a great hamstring stretch!) and manually unwind the loops and wind into a ball.