My friends and I all live in the frigid north of the US, so knit hats frequently aren´t warm enough. That´s why I line them with fleece. I thought that I´d show how I lined one of my friends hats, just so other people who are cold can do so too.
1) Knit your hat. If your pattern has ribbing, add a few rows of just plain knit stitch to the bottom, before the ribbing (about .25-.5"). This will make the seam neater.
2) Measure your or whoever´s getting the hat head´s circumference. I do this by tying a piece of yarn around my head. It works.
3) Cut a fleece band to the length you just measured plus about 1 inch (for the seam). Make the band however tall you wish, although I recommend about 3-4 inches, and don't make it so big that it will have to be sewn on the decrease portion of the hat. Sew this band into a circle.
4) Place this band on the outside (or right side) of your hat, pin in place, and sew bottom edge. If you had a ribbed hat you added a few rows to the bottom of, make sure that you sew along the line between the stockinette stitch and the beginning of the ribbing (this is shown in blue in the picture). If you have earflaps, make sure they lie under the fleece band, between it and the hat, as the white shape is in the picture does.
5) Flip hat completely inside out, so the wrong side is now facing you with the fleece band on top of that. Pin in place and whip stitch along the top (again shown in blue), making sure to keep the stitching fairly loose. Stretch the knit fabric every couple of stitches just to make sure it's not getting too tight.
6) Flip hat right-side out, so the right side is again displayed. Now your hat should be nice and cozy!
This is my first-ever tutorial, so please tell me if something doesn't make sense or you don't understand parts of it! If so, I'll try to (hopefully) explain it better.