Although you can barely see it, I stuck a piece of tape over the beginning of the yarn to hold it in place. It'll be covered so it really doesn't matter what tape you use, just that it can hold the yarn in place for a bit.
Start wrapping yarn all over the ball. There really is no right or wrong way to wrap. Then when I finish wrapping the ball I tie a knot in the end and tuck it under some of the yarn strands. That's it! This is also the same way that I made my yarn balls that I stuck on my headboard (which are still there cause I love them so much.) You can read that post here.