Get your stuff!
1) Cheap Substrate - I found indoor grade OSB at Lowe's for about $10 a sheet. I needed two sheets. $20.
2) Cotton or polyester batting - Look out for a deal. This will not be something you're going to lay on or really touch too often. Just find something that works. I used 6 ounce which was really thick for this! About $30.
3) 1" by 2"s - These are so you can connect all the panels and to stand them up. These were also around $10.
4) Fabric - This is the critical decision. You'll want to think hard about this one. It's a big visual, so overpowering patterns might be bad. I decided to go with strong color with no pattern, but with a velvet texture. My fabric was super nice, so it was $90.
So all together, $150.