I saw this being made on one of the Fons and Porter tv programs. Downloaded the pattern:
Making it was a nice break from some of my big WIPs :-)
You start with a 5 quart bucket from Lowes, and some nylon screening (amazingly we had some on hand but I'm sure you can get it at a hardware store).
The instructions are excellent...written in BabyLock terms (names for the feet) but no problem. One helpful hint was to use their J foot (which is the blind hem foot) to topstitch close to the edge of the binding.
Note that I filled the caddy wth a significant part of my thread stash...I use pipecleaners to keep the spools and bobbins together.