This excellent site says that 4-5lb preemie head sizes are in the 11″-12″ size range. This hat measures 11.5″, with plenty of stretch. For tiny, tender little heads, it would probably be best to make it with softer yarns (Simply Soft and I Love This Yarn! are some of my favorites).
Worsted weight yarn, I use 3 different colors in most cases. You will be holding 3 strands together at all times.
Size “M” crochet hook
Start with a magic circle (an excellent tutorial can be found here)
Ch2, 8 DC in circle, pull circle tight, join, ch2 (8 stitches total)
2DC in each DC, join, ch2 (16 stitches total)
2DC in first DC, DC in next DC, *2DC, DC* repeat around, join, ch2 (24 stitches total)
Rows 4-7, DC in each DC.
Finish off, weave in ends.