Thin yarn... wants a hat.
I've made a touque with thin yarn - it worked very well. Just take circular needles (smallish size) and cast on a gracious plenty of sts - so it'll fit your head loosely.
Work K1, P1 for 3'. Yep, that's 36". Then thread yarn through the sts [nope, no decrease] and tie tightly. You can cover this end with a pompom or a tassel - I used a tassel.
To wear, roll up the edge until it clears your eyes and covers your ears. Built-in ear muffs, can pull it down far on cold days, roll it up to just cover your hair on warmer days.
Let the tassel/pompom end dangle for a foot or so.