So here's an Instructable on how to do it. This was super easy and only took me about 45 minutes.
**And please, supervised play time only**
Step 1: What you need:
-1 small piece of felt
-About a handful of stuffing
-Hot glue gun
-Seam ripper (or scissors will work)
-Sewing machine or needle and thread (minimal sewing-you could probably even use the glue gun for this)