I do this by threading a thin steel knitting pin through the end loops of my warp and lashing that to my loom bar. If the yarn is heavier I use a length of piano wire or even a bicycle spoke works well. You could use a length of coat hanger wire for heavy yarn. Some of the options can be seen below. Regular knitting needles are not strong enough for this.

Above you can see the warp with the knitting pin in place. I have tied two “straps” to the loom bar and will slide the two ends of the pin under those. For wide warps you may have to later tie additional straps at various points across the width of the warp.

The pin is now lashed to the loom bar and you are ready to start weaving.

When you are done weaving, withdraw the knitting pin and pass the weft on a sewing or tapestry needle to fill the gap left behind.

This gives a neat edge for keyfobs, bookmarks, wall hangings and other items where fringe or braids are not needed at both ends of the piece.

TIP: Tie the string or thick cotton around as tightly as possible to your loom bars first. Then slide your metal rod under these ties. the cotton should be so tight on the loom bar that it is almost impossible to slide the rod under. Use a curved needle to lift the cotton ties and work the metal rod into place. Then slide the cotton ties so that they are right next to the edges of your warp. This will help stop the rod from bending as you put tension on the warp. On wider pieces add extra ties in the center of the warp and at various other points across its width.

Here are the knitting pins I use with finer yarns…

Here is video showing how I set up for a third selvedge for a keyfob that I am warping.