Turn the blanket 45 degrees and fold down the farthest corner. Place baby with neck over the fold. Bring one side of the blanket across baby and tuck firmly in behind. Bring lower extension of blanket up over the baby, and tuck one side into the same side you tucked the other side into, firmly. Bring the opposite, remaining side of the blanket across the baby and tuck that in behind.
The result should look like this:
It helps to have water running in the background.