I love those machines, @jluvs2fly... I bought a toy one ages ago and had so much enjoyment learning how to use it ; it was definitely not for my children to play with :D... The machine I have cannot make hats for adults though...

I think you could just actually use thin yarn but make a a double length tube. When you have knitted double the length you need, take it out of the machine.
Gather the ends to seal them and then just fold one half into the other.

I really hope you understand what I mean :D