First make a warp using the normal method on a warping board or warping mill and secure the cross as you usually would, then chain.
You will also need to mark the width of your warp on the rigid heddle with a couple of bits of spare thread tied at the bottom of the appropriate slits.
All the loops will be dented in the rigid heddle on a table to prevent the spare stick from falling out of the loops.
Pass the two ends through the loop at the other end and put the spare stick through it, pulling tight.
All you need to do now is wind onto the back beam as usual.
In this picture the first colour sequence, on the right is one light, one dark, followed by two threads of a completely different colour. The next sequence is three dark and one light.