Instructables author (and Community Manager) Randy Sarafan writes:

Theoretically it sounds really easy; you can make a tape loop by taping the ends of a short piece of magnetic ribbon together and sticking it back inside the cassette tape. However, if you ever actually tried to do this, you will soon realize that it is a tad bit trickier than one would think. I spent an afternoon working out and refining this science. After many tries and many, throw-my-hands-in-the-air-and-promise-to-give-up sorts of moments, I think I have it down reasonably enough to write instructions for someone else to do it. Now you too can tape the ends of magnetic ribbon together, and profit!

Audio Cassette Loop