Basic Loop

Step 1: Using a piece of wire 1-2" long, grip the wire about 1/2" in from the end with the tip of the round nose pliers. Make a 90 degree bend in the wire by pushing the end opposite of the 1/2" piece down.  
Step 2: Using an underhand grip (with your palm facing up), hold the end of your bent wire in the round nose pliers, about 1/2" down from the tip of the pliers.  
Step 3: Roll the end of the wire towards the bend in the wire so that they meet.

An alternative is to follow the Wire Wrap Technique up to Step 5.