Abstract: A yarn winding method is disclosed where at the step of winding yarn on bobbin, at changing a full bobbin to an empty bobbin, a running yarn is wound on an auxiliary winding roller provided separately from the bobbin, travelling of the yarn and rotation of the auxiliary winding roller are then stopped, a full bobbin is exchanged by an empty bobbin, a part of the yarn wound on the auxiliary winding roller is then taken out to form a thread line for setting the yarn to the empty bobbin, travelling of the yarn, rotation of the auxiliary roller and rotation of the empty bobbin are then started, the yarn-setting thread line is shifted toward the side of the empty bobbin to wind the running yarn onto the empty bobbin, and the normal winding operation on the empty bobbin is then started. Also an apparatus for practicing this yarn winding method is disclosed.