Two good photo tutorials from Tilly and the Buttons.

Using a bodkin or loop turner to turn

The key tips :
– Cut the strip on the bias, whatever the pattern instructions say. If that would waste a lot of fabric, cut 2 shorter strips.
– Cut the strip a couple of inches longer than needed, as the ends are likely to be a mess.
– Cut the end at an angle, so the first section being pulled through is narrow.
– Trim the seam allowances narrower than the loop. This is a technique I have great difficulty with, and that is the only thing that works for me. If this technique comes easily to you, leave the wide seam allowances (or just trim one side), as they give the loops more substance and wear resistance.

Using threads to turn narrow loops
Alternatives – use a thick thread such as crochet thread or perle embroidery thread.