I have knit the letter I using two different colours of DK wool on size 4mm needles. If you do not know how to knit there are lots of really good videos on youtube showing all the basics.
I started by casting on 50 stitches, in the turquoise colour.
I worked out that I wanted the letter to be 6 stitches wide. I used stocking stitch throughout which is knit one row, purl one row.
After working 12 rows I decided to beginning the letter I in pink. On the knit row I knit 16 stitches before joining on the pink wool. To join the new colour i place the pink wool underneath the turquoise wool that i had been using (left picture) Then knit the stitch with the pink wool.
I continued to knit 18 stitches in the pink wool.
As I knitted across the pink I needed to join on a new piece of green wool to complete the row. Rather than use a separate ball of wool I used the other end of the wool ball.
On the purl row (rear of knitting) place the pink under the green thread before completing this stitch. This ensures that the stitches remain neat and tight.
I continued knitting the I shape in the pink. Once I was finished the shape, I sewed in the loos ends of the wool on the back of the knitting.