If you make it as a tube and just want to close the tube, you could also end it the same way as making a hat - cut a nice amount of tail of the working yarn, put it into a needle and weave it up through each peg and pull the yarn off, and just pull it tight at the end.
Otherwise, Isela from Decor Accents has a pretty good technique I've used with a bunch of my scarves:
"> Sure thing: Assume I have a panel on 5 pegs. Working yarn is by peg 1.
> Step 1: Knit the first two stitches. (Peg 1 & 2)
> Step 2: Move the loop from the 2nd peg over to the 1st peg. Knit over.
> Step 3: Move the loop from the 1st peg onto the empty 2nd peg.
> Step 4: Knit the next stitch (stitch on peg 3).
> Step 5: Move the stitch from peg 3 over to peg 2. Knit over.
> Step 6: Move the stitch from peg 2 to empty peg 3.
> Step 7: Knit the next stitch (stitch on peg 4)
> Step 8: Move the stitch from peg 4 over to peg 3. Knit over.
> Step 9: Move the stitch from peg 3 over to empty peg 4.
> Step 10: Knit the next stitch (stitch on peg 5)
> Step 11: Move the stitch from peg 5 over to peg 4. Knit over.
> Step 12: Cut working yarn, leaving a 5-6" tail.
> Step 13: Wrap the tail around the peg. Knit over. Pull tail through the stitch and secure tightly."
Its from an email from one of the many looming Yahoo groups. Private message me and I can give you some addresses if you're interested.