Step 1: Supplies
Material - Both fleece and something that's not fleece that you could easily screen print onto. But you don't have to use the fleece with it if you don't want to.
Fiber fill (A.K.A. Stuffing) - Obviously it won't be a pillow without stuffing.
Paint - Acrylic works well, but fabric paint would be even better. You'll probably want black paint for this.
Paper - Preferably with the quote of your choosing printed on it. Also, some blank pieces of paper for the bottom part when you're making the stencil for screen printing and then some more for the stencil of the thought bubble.
Printer - To print on the paper with.
Garbage bag - Makes the paper stick to the material.
Iron - You might want to iron your material, and also you need it because it goes with the garbage bag and since the garbage bag goes with the paper the iron also does.
Sewing machine - You probably won't want to sew all this by hand.
X-acto knife, paintbrush, scissors, stuff to write on the material with, all those other small things you might need - Obviously, you're going to need stuff like scissors and x-acto knives and who knows what else.