I started making dreads etc but had to stop when I moved back to the US. I hope to get around to it again one day for me to use in my own hair. But I know of a great place to go for tutorials, and they sell some of the supplies. http://www.doctoredlocks.com/hh_forum/archive_board/
You need to register to post, but that is a great place to get a lot of info. If I am understanding you correctly, you want the wool ones, the ones that look a little more puffy? That is done with wool roving, there are a few techniques to make them into dreads, they should have the info on doctored locks, I am by no means an expert and those ladies can make some truly amazing stuff! If you are looking for the smoother ones, those are made with kanekalon hair, and the hair is ratted, twisted then heat sealed with steam or by boiling.
As for what to attach them with some use a ponytail holder, or you can also use a piece of lace, which is then tied to the bun you make to keep it in your hair. I have to go get my husband (he's sick) or I'd go more into how you attach them to the holder, but it's different for dreads than for loose falls. Also a dreadband is done differently, but there's tutorials around too. HTH and good luck, its a lot of fun!