Thanks! They are made from synthetic hair used for extensions. You can get it from beauty supply places or order it online. I used a 27" "Yaki Pony" (100% Toyokalon). It's basically loose hair sort of tied up in a doubled over pony tail.
The idea is to take tiny little sections and anchor them on something, back comb the hell out of them, twist them up, then use a hairdryer or steamer to melt the fibers a bit so that they stay in place. Very easy. Very time consuming. Very cool!
I have to have something to keep me out of trouble. lol.
There are a couple of great resources for making them, as well as all sorts of other fake hair.http://quinnster.fqdn.net/
(click on "dreads")http://delicstutorials.livejournal.com/5650.html
(just poke around here for all sorts of cool stuff)http://www.doctoredlocks.com/store/demo/tutorials.html
(scroll down and look at the cool section on dreadlocks. They teach you how to do transitions and other cool stuff. I'm about to try that with the burgundy and some black!)
If you decide to give it a go and you have any questions, I'll be happy to answer them if I can.