I am never able to wind my yarn into nice balls where you can easily pull from the center of the ball to knit. They end up rolling all over the place. Here’s a great photo step-by-step on how to wind up your skeins of yarn properly using a toilet paper roll as a base. Link.
Wind a center-pull ball of yarn using a balloon. (Site is in french w/ photos. Thanks Pfirsch) – Link.