Firstly, lay out your squares how you want your final project to look. This is really important because you want to know what it'll look like and minimize mistakes. Once you've sewn them together, it's pretty hard to un-sew them. Notice colors (if you've used multiple colors) and patterns. Make sure all the patterns are facing the same way. Move the squares around until you've got it like you want it.
After you've laid out your project to your liking, its time to put it all together. There are a couple of ways you can sew them together. My recommendation (and the one I'm going to show you) is to use overcasting or whip stitch method. Mattress stitch is a handy technique to know and would also work for this (especially if you plan on making garments some day- they are almost always seamed using mattress stitch).
WHIP STITCH or OVERCASTING
This is really quite simple and is a common technique used in many types of sewing.
After laying out the squares,
take the two blocks you want to sew together and hold them right sides together.
Make sure the patterns are facing the right way. Thread your tapestry needle with a length of yarn and starting in one corner work through the edge of the squares front to back, front to back, front to back all the way across the edge of the two squares. I would recommend using a length of yarn that matches one of your two squares. It doesn't matter which one, the sewing will blend into blanket well with this method.
Sew the ends of the yarn back into the squares. Repeat with your next square.
Just as in quilting, it's best to sew complete rows first and then sew the rows together.