From the book:

Double-Rolled Mittens are knit in one color with a narrow roll of unspun fleece carried behind the work, caught up between the stitches, just as one weaves in long floats of yarn in double-knitting.

To knit a pair of mittens with medium weight wool yarn, you will need:

• MC: 40-110g
• CC (for shag on cuff): 4-11g
• Fleece or roving: 10-30g