Advantages: The main advantage to the rubbing method is that if you happen to own something wool you can get started right away. It is an all natural method. You can do it yourself.
Disadvantages: It hurts like hell and the dreads that it makes vary greatly in size and do not look very good. Hair will usually need to be cut after trying this method so you will have to grow out your hair again before trying another method.
Take a wool sweater or hat and rub it in circles on your head.
After about 15 min, if your hair is long enough, knots will start to form. As the hair knots together you rip it apart and try to separate it into dreads.
After you rip it apart you resume rubbing for another 15 min or so.
Repeat this process over and over and over until all your hair is knotted.
Lots of loose hair is common with this method and the neglect method, just try to stick them into the nearest dread.
If your hair is shorter, you can use a brush to do it. Rub the soft bristle brush in a clockwise motion. Rub about an inch at a time, you will start to see little sections of balls forming. After you have rubbed your entire head, use a small amount of wax on each little ball. You can use a hair dryer to melt the wax into your new little dreads.