Select the edges as in the image, press 0 and c.
Deselect with space.
Your cylinder should look like this.
Select a horizontal edge and press l, a whole circle gets selected.
When you have these circles selected, you can uniform scale them in or out, this is how you model the shape of your chess piece. Move the circles down on the y-axis to make the model more detailed.
One cylinder isn't enough to create the whole piece. Create a new cylinder, select it, then move it up on the y-axis. Now that the new cylinder is over the the old one, select the two faces and -bridge-, the two cylinders become one object. If you make your model detailed you probably have to repeat this step later.
It might happen that you have a part of a cylinder left that you don't need anymore because you are finished with your model. In this case just select the top face and switch between face and edge mode until the whole area over your model is selected. Press backspace.
When you have finished, select the whole model and press s one or two times, it will smooth your model. If you want to smooth it twice, press s and then remodel the sharp edges before you hit s for the second time, otherwise the model wont have any contours.
rdilo AT sdf-eu DOT org
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