Embroider highly conductive thread to make a fabric speaker coil. Then run an amplified sound source through it and hold a magnet close to hear it play. Sewing the coil takes longer than you might think!
A speaker makes sound because an electromagnet (the embroidered coil) is mounted to a membrane (the fabric) with a permanent magnet close by. When an audio signal is connected to either end of the electromagnet (coil) a fluctuating magnetic field forms around the coil, repelling and attracting the membrane from the permanent magnet. These vibrations happen so fast that we can barely see them, but the membrane moves the air around it, translating electrical frequencies into audible waves that we can hear.
Take a good look at the diagram and stencil on the other side of this sheet so that you understand what variables will influence the efficiency (volume) of your speaker coil before designing your own.