Both my Westies have the same habit-when I am knitting and my yarn is hanging down, they love to walk under it, letting it run along their backs. It must feel good.
The other day, I was knitting at my computer (blogging and knitting-the ultimate in multitasking) and Merlin was behind the recliner next to me. Suddenly a grasshopper coughed or something and Merlin flew out from behind the chair, under my yarn-couldn't leave that step out, and up on the back of the chair in the picture window. He immediately had my yarn securely tangled-around his neck, in his radio collar, around his feet. I grabbed him and the yarn, but he kept getting away and turning in circles, barking frantically the whole time. Every now and then he'd try to take off, but I did have hold of the yarn and he'd go back up on the chair, still turning circles and barking.
Of course I got the giggles, but I was concerned that I wouldn't get him loose before he got hurt. Finally, I got him to stand still long enough to untangle, but oh, what a circus!
I was knitting hats with a triple strand of yarn at the time, so the mess was even bigger:
Here they are, hanging out waiting for something else to bark at. Merlin's Radio Fence collar has done a number on my window sill. We're going to do some rearranging soon, so we can keep the barking machines out of the window and redo the sill. Wish us luck!