I promised one of my Ravelry friends I'd try to capture pictures of the way I wind my yarn. Alas that didn't work out. But hopefully I can give a word picture. This method was demonstrated to me in the early 60's at either Polsky's or O'Neills department store in Akron, OH. I start by making a figure eight between pointer and pinky. After about 12 wraps, the yarn gets wadded into a ball shape and then I start wrapping the yarn around the little wad turning it around the pivot point of my thumb. Sort of like holding a bowling ball, but lighter and softer.
Yarn: Sleeping Dragon Handpainted Mossy Frog
Sock: standard on US #1