Hemming fleece is different than hemming other fabrics: a traditional hem would be bulky and unattractive since fleece is thick and heavy. Also, because fleece doesn't unravel, hemming is really just a finishing touch. It involves hand sewing a simple blanket stitch around the edge.
Iron the edges of the blanket flat, and thread an embroidery needle with embroidery thread.
Insert the threaded needle into the blanket, about 1/4 inch inside the edge, leaving a tail of thread on the back of the blanket. Tie the two ends of the thread together to secure the thread to the blanket.
Position the needle on the underside of the fabric, 1/4 inch inside the edge and 1/2 inch down from the first stitch. Then bring the needle up through the edge of the blanket. Notice you now have a loop of thread out from the edge.
Insert the needle through the loop of thread that has just been formed. Pull the thread tight. Repeat this process along the entire edge of the blanket.