You will need:
- outer fabric
Quilting squares are super cheap and are plenty big for this project.
- inner lining fabric
I like to use terry cloth, but I think that fleece would work nicely too.
- matching thread
- sewing machine (you could hand-sew this too)
- sewing pins
- thin ribbon
- safety pin
- thin paper such as tracing paper or wrapping paper
- anit-fray liquid (like Fray Check)