What you want to do is make I-cord. Cast on 3, 4, 5 or more stitches. 4 is the easiest to do, anything more than that, and you will have to latch up stitches later.

Cast on, and knit one row. DO NOT TURN your work!! Slide the stitches back to the other end of the needle, and without turning the work, knit that row again. You will bring the yarn across the back of your work to the beginning stitch -- pull it up snug across the back. Repeat this one row over and over, never turning your work, but always knitting from the front. I know -- it sounds stupid, but it does indeed work. You are in fact knitting in the round on a 4-stitch circle, which makes for that hollow-centred cord.