Blocking is the last step in making something, your project is not really finished until you do this step.
This is a simple lace headband. Before blocking the lace pattern would be almost invisible. After blocking you can see it. Most lace knitting has to be blocked before you get to see how pretty it is. To block a wool thing, you simply let it soak a bit in tepid water with some wool wash for 10-15 minutes. Eucalan, Soak, or some of the local stuff we carry won't require rinsing and are made for wools. Woolite is not as gentle. Then roll your knitted thing in a towel to get most of the moisture out. Lay it flat to dry and pin it to the shape you want. Y ou can pin it to shape on a bed, but be sure to put towels or a sheet under it so that the color doesn't soak into your bed linens. Or get some of those rubber interlocking mats and then pin to them. You can also use blocking wires that thread through the edges of your project and get pinned - less time and not so many pins. Wool has memory and will stay pretty much how you shaped it until it is washed again. You can get that extra inch on a sweater that might be a little tight if you do this before you sew the pieces together and then whenever you wash it too.
Other fibers can be blocked too - cotton takes forever to dry though and doesn't hold the shape as well. You can pin it out dry and spritz it with water, then let it dry in shape. This works well on crocheted lace doilies too. Even woven things benefit greatly from this process. Some yarns that feel scratchy will soften greatly after blocking. Get in the habit of blocking your projects, they look so much more finished and you'll be happier with both how they look and how they feel.