Take a stitch from top to bottom—this will become the first half of the cross. Then bring your needle up to begin the second half of the cross and pull your thread through.
Lay the thread across the center of the stitch and hold it with your thumb.
With the thread looped below, slide your needle diagonally from upper right to lower left and under both threads.
Pull the thread through gently making sure the loop is under the tip of the needle.
Continue to pull it through, guiding the thread with your thumb, until the knot tightens.
Then bring your needle and thread to the back to complete the cross. And it looks like this.
Here's a side view so you can see the knot a little better.