So I did, and the result was pretty, although maybe not looking exactly like a basket weave:
One of the most fun things about yarn braids is that I didn't need to use any kind of pony holder. I just took a few braids from each side and tied a knot around the braids coming from either side of her head!
What do you think? It sounds like a lot of you have been trying out the yarn braids. Have you done anything interesting to style them? We LOVE to see your pics!