I laughed out loud for a solid minute when I saw that one.
Also, apologies for the lack of construction pics and crappy quality of the ones that I have. The girl took the good camera away with her (ok, so it is her camera), and the construction went so quickly I forgot to take even crappy pictures.
Step 1: Materials, Tools, And... Supplies!
A USB flash drive - one with a snug fitting plug cap
An appropriate stuffed doll or animal - I got this one at a dollar store; floppy legs are good
tweezers or needlenose pliers
needle and thread
hot glue gun
Step 2: Doll Decapitation
Step 3: Excavate the Carcass and Emplant Electronics.
Once the drive and cap fit nicely, fire up the ol' hot glue gun. Drizzle glue into the coccoon for the drive (make sure to get some glue on the sides of the hole). Squish the drive into that nice gluey goodness. (You did line it up so the top of the drive is facing the doll's back, right?)
Repeat the process for gluing the cap into the head.