Haybox or retained heat cooking is simply cooking a liquid based food like a soup or stew in it's own heat. During WWII cooking oil was rationed for the war effort this method became popular as a way to conserve cooking fuel. They used hay in a box because the air spaces in the hay trapped in heat and allowed the soup or stew to cook in it's own heat. Anything like hay, shredded news paper, rice hulls, cotton balls, corn husks etc will work as long as it packs loose and creats air spaces.
Step 1: get a container
Pretty much anything will do, i got this box at a army surplus store. A cardboard box will do as well, some people have even dug a hole in the ground and used that.