Gauge is not important, as long as the resulting fabric is firm enough to hold the stuffing. I used Brown Sheep Cotton Fleece, 2 strands held together on a size 8 (5.0 mm) needle, to create the sample. But any worsted weight (2 strands held together) or a bulky yarn on a smaller needle should work.

Double-knitting is an easy technique by which you can knit a tube without using circular needles or DPNs. Once you get the hang of it, you’ll probably think of fun variations and ways to make other neat toys. The basic DK st I use for this toy is:
On an even number of sts, P1, Sl1, repeat from to end (always end on Sl1). Repeat until length desired.