First of all take a cheap length of some cotton fabric and cut a rectangle out of it. Size doesn't matter, you can chose to make a big bag or small bag.
Step 1: Sewing it up
Step 2: Filling the bag
I found that the easiest way of sewing the bag shut without spilling rice everywhere is to pin it shut, then support it with one and as you sew the last edge shut. Zig zag that one too and voila, your heap-up bag is ready. You can pop it in the microwave and start enjoying it's warmth right away or you can continue with the next steps and make a nice snuggly fleece cover for your bag.
pop it in the microwave for somewhere between 1 and 3 minutes at full whack, depending on the size and the temperature you want it to be. Be careful when you take it out, it can be very hot.