I applied craft glue to the backside, the top, and bottom of the letter. I would glue about three inches, then start wrapping, then add more glue as I moved up. I left the ends of the yarn long until the whole thing had dried. Then I trimmed them.
I added my embellishments, which have sticky tape on the back, and I was done!
The whole thing probably took about an hour and the longest part was waiting for the glue to dry.