http://crafterscommunity.com/forum/d...lter-doll.html Here's the directions, you need rapid flow milk filters. You might try a farm supply store especially if you live near Amish country. They might have them. They'd probably only be in white but you could use different colored yarn.
You can also find them on ebay. I don't think they'd be that hard to dye, just dip them in some ritz dye, rinse them out and lay them out on an old towel to dry. Maybe not.
My aunt had a beautiful doll like this made of circles cut from handi-wipes.