I picked up some gray jersey knit material and I cut two strips 16 inches x 36 inches. Since jersey won't fray, there is no need to hem the edges.
Next I pinned the two strips together and tried it on to see if it was the length I wanted.
Even though I measured off another infinity scarf I already had, this one was too wide. So, I ended up making it 12 inches wide (originally it was 16 inches). The length was also a little long for me, so I cut 3 inches off the length (original length was 36 inches). After adjusting to the right fit, I sewed up the two ends.
And that was it, I made this in less than 30 minutes and it cost $4 for a yard of material. The pictures below show it looped 3 times, but it can also be worn just looped twice.