Check out this Make / Craft Magazine tutorial on plying yarn in weaving and textiles.
When we posted about the amazing yarn we customized at Yarnia in Portland, OR, we got a lot of questions about plying yarn. At Yarnia the yarn is wound together from many "singles," or individual strands of yarn to make up one unit, but the strands remain individual, making it a little more difficult to work with than plied yarn. We asked one of the professors, fibers artist Jerry Bleem, if he could teach a class how to ply yarn, or twist the singles together into a single strand, and in this video he does just that. Plied yarn is also much easier to work with on a knitting machine than non-plied yarn because there's less of a chance of one of the individual fibers catching where it's not supposed to