The process is quite simple, but I still looked up instructions on how to make one. I found a pretty basic write-up here.
All you need is your fleece material, good scissors, and the ability to tie knots.
I used 1.5 yards of pattern fleece and 1.5 yards of plain fleece, approximately $20 (you could probably get it for way cheaper if you planned in advance and looked for sales/coupons). It only took about 2 hours to complete, start to finish. Go grab some fleece and make one for yourself!