There are three important steps to completing a successful loom knitting project.
Cast on to the loom
Stitch your pattern
Cast off the knitting loom
I know that may oversimplify loom knitting a bit, but essentially it does come down to those three things. Casting off can sometimes get confusing.
There are different methods to casting off the stitches on your loom. This craft video shows one of the techniques for a long loom. Sometimes Casting off a two sided project can be confusing, this video is informative and will help you achieve a nice finished edge. This cast off can be used for a Knifty Knitter or one of the other knitting looms out there.
You will need a crochet hook and your loom knitting tool.