I haven't actually made one, but we had a demonstration at our guild.
Cut out your fabrics to the shape you want. Take two of the fabrics and sew them together 1/2 way around, starting at the center top and stopping at the center bottom. Now take the next fabric, and sew it to one of these, again 1/2 way around. Take the last fabric and sew it to the last one, 1/2 way around. Sew the last fabric to the first fabric where they are not joined to any others, leaving an opening to turn the whole thing right side out. Sew the opening closed.
If you think of an X and you will be placing a piece of fabric inside each V, , and the bottom.
If you want to add batting, I would baste it to the wrong side of fabric 2 or 3, so it is not included in the turning opening.
Hope this helps.