I've been asked a few times how to make a "yarn cake" by hand and have been sending people to other tutorials. Recently I was winding a cake just as someone asked and I took these pictures to show them. I might not be and expert in anything to do with knitting but I think I have a fairly good handle on the center pull ball.
The easiest thing I know of to use the first time is a paper towel or toilet paper roll. Rip a small part of the top of the roll and insert into the end of the yarn. Wrap the yarn around the roll a few times to secure the end further.
Begin wrapping the yarn diagonally around the roll. I've found that keeping the yarn as close to the next strand as possible helps create a stable ball. You don't need to tug on the yarn or pull, just gently wind.
Just keep winding until you're almost to the end of the yarn then with the last little bit wrap horizontally around the ball and tuck the end under the last few strands. I find this last step keeps the yarn secure although most people I know don't use it and never have a problem. I also remove whatever I've used as my nostepinne from the ball. Some people store their yarn with a roll or piece of card tucked inside but I like to let my yarn have as much ease as possible so that is doesn't stretch.
This skein had a knot in it so I ended up winding a mini ball with the extra. One of the biggest advantages of winding by hand is learning my yarn, finding the knots and problems before I start knitting with it. Winding by hand will never be as fast as with a ball winder but you can end up with the same product, fewer things to store and one less gadget to spend money on.