Here's a link (to a forum entry on knittinghelp.com) that talks about making gauge swatches for projects knit in-the-round.
The method described involves knitting a row, sliding the work to the other end of a circular needle, then knitting the next row from the same side (leaving a long loop of yarn across the back). Advantage: you end up with a measurable rectangle instead of a loop.
Has anyone tried this method? Are there other methods to recommend?