I'm replacing an old post with better simple instructions, so forgive me for the lack of pictures and steps.
To make great practice poi, all you only need is:
(1) a pair of knee socks
(2) 2 punching balloons (because they're thicker than other types).
Fill the balloons with a tennis-ball's worth of water (250 ml/1 cup or a bit more?) and then put them in the bottom of the socks. Tie a knot in the socks at the top. If the socks are too long, tie more knots it it to shorten them down. Balloons are the softest possible option, which is exactly what you want when you're starting out. A good dollar store should have them both. There are lots of places to look for lessons. Here's a few of my favourites:
Or go to youtube and type in poi lessons and see what you get.