You will need:
A piece of felt
Assorted colours of embroidery floss
An embroidery needle (large eye)
Start by outlining the shape on the felt. Simple shapes are easiest, but there's no reason why a complicated silouhette wouldn't work.
I like to work in multi-colour, so start by selecting the lightest colour in my range, and thread my needle with a length of that. Start from a point on the outline of the shape, and using long stitches, work away from the drawn edge. I like to vary the length of these stitches, so it looks a little less organised! If changing colours, work a section of the shape, and then change over. The length of section is up to you...
Make sure all ends are securely tied off, and trim close to the knot.