You want to build a list that's circular; that is, as you navigate it, you eventually reach the head again. For example, ring buffers can be implemented with circular lists.
Circular lists do require care when you're working with list functions, many functions will not accept a circular list, or will not terminate when given one. The problem is in detecting the head of the list; if list elements aren't unique, you can't simply check if you've seen an element before. In the ring buffer case, you probably have a fixed size ring buffer, so it's easiest just to keep track of how many elements you've seen when traversing a list and comparing to the known length.
SRFI-1 also has functions circular-list for building circular lists and circular-list? for determining if a list is circular.