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First, make sure that you

First, make sure that you have a "heading" variety such as Iceberg or Romaine if you want a head to form.

Some types, such as Bibb lettuce, form a loose head. Iceberg won't head tightly in warmer climates and you should treat it as a leaf lettuce and harvest the leaves as they get large enough to eat. 

Lettuce will head better if it stays cool. In warmer climates, it can be better to grow lettuce in the fall.