Here is a cool trick you can try out:
var material = new THREE.MeshBasicMaterial( { color: 0xaaaaaa } );
var geometry = new THREE.SphereGeometry( 32, 32, 32 );
var sphere = new THREE.Mesh( geometry, material );
scene.add( sphere );
var geometry = new THREE.TorusGeometry( 31.9, 0.16, 64, 100 );
var material = new THREE.MeshBasicMaterial( { color: 0xffff00 } );
var torus = new THREE.Mesh( geometry, material );
torus.rotation.x = Math.PI/2;
scene.add( torus );
Check out this link for more details
Update: Another approach that may be better suited is the following:
var rad = 32,
delta = 0.05,
segs = 64,
material = null,
geometry = null,
circle = null,
sphere = null;
material = new THREE.LineBasicMaterial( { color: 0xffff00 } ),
geometry = new THREE.CircleGeometry( rad+delta, segs ),
geometry.vertices.shift();
circle = new THREE.Line( geometry, material );
circle.rotation.x = Math.PI/2;
scene.add( circle );
material = new THREE.MeshBasicMaterial( { color: 0xaaaaaa } );
geometry = new THREE.SphereGeometry( rad, segs, segs );
sphere = new THREE.Mesh( geometry, material );
scene.add( sphere );