This afghan is a black and red knitted blanket. Hallie and Codi carried it everywhere when they were kids. When Codi returns to Grace as an adult, she finds it folded up in the chaos of her father's house and takes it back to Emelina's. She still sort of needs a blankey, it seems. Later, when Hallie dies and Codi holds a memorial for her, the afghan is what she uses to collect all of the objects that symbolize memories of Hallie. She wraps them up in the afghan and then buries it.
Interestingly, throughout most of the novel, the afghan seems to stand in for the comfort the girls have missed from their deceased mother. As a black wool bundle that Codi will bury, it's also a lot like the black sweater in which Codi buries her baby—so much so that Doc actually thinks that's what it is. That's his Alzheimer's talking, but it cements a visual and symbolic link between the two bundles.
What's interesting, of course, is that the blanket is an object not from the girls' mother, but from Uda. We don't think that this is meant to suggest that Alice didn't care about her daughters or anything, but it does emphasize how much the women of Grace have actually stepped up to the role that Alice vacated when she died. Especially for Hallie, who, as Codi actually says early on in the book, would have had no memory at all of their mom, Uda was the person who gave out hugs and got mad when they didn't come home on time.
Translating the afghan from a mother-object to an Uda-object means admitting that some of the people in Grace had been there for Hallie and Codi all along. We guess that just like Doc with his shoes, Codi sometimes expresses love through objects instead of words.