I made one last year and took it around with my kids trick-or-treating. I'm an adult so many people answering the door looked at me suspiciously when I held out my "pumpkin". I just pretended to be collecting candy for my "other kid, sick at home". Even with suspicion raised, the trick worked great and I got invited into several parties. We 'test drove' the pumpkin at the annual Pumpkin Festival in Hartsburg, MO. Here's some of the reactions we got in broad daylight.
Step 1: Gather The Parts
You'll need a pair of gloves that you can sacrifice. You're going to cut a big hole in one so don't use anything nice or expensive. I found a cheap 3-pack of cloth gloves for less than a dollar at one of the depot stores.
A couple of plastic grocery bags for stuffing material.
For tools, you'll need a utility knife a hot-glue gun, and a pair of scissors. A compass is handy for marking the cutout but you can make due without.