I am not sure how "weave in" actually works. I'm thinning on top and would like something natural

Answer 1

You can either get hair tracks glue or sewn onto braids of your own hair.

For balding or thinning hair, here's an option:
http://www.margaretsbraidsandweaves.com/extreme.html

But for a better understanding of what a weave is, here you go: Scroll down to hair weave techniques

http://en.wikipedia.org/wiki/Hair_weave