Cut a 1-1/2'' to 2'' (4-5 cm) length of white wool roving and divide it in two. With each piece, form it roughly into a ball by bringing the ends together. Poke it with the felting needle, turning the ball around to get every side and to make sure it doesn't get attached to the foam. Roll the puffball between your hands from time to time, and keep poking until you are satisfied with the shape. My snowbabies end up quite puffy—with this amount of wool roving, just felting them enough to hold together, they end up being 1" to 1-1/2" (2.5-4 cm) in diameter—but if you want denser snowbabies, use more of the wool roving for each ball and poke it for longer.
If you're unfamiliar with needle felting, see here
for more detailed instructions, but it's mostly just a matter of poking the ball with the needle. The hardest part is being careful not to poke yourself or break the needle.