I covered a piece of insulation foam board with Warm and Natural batting. It works really well for me. Mine isn't attached to the wall, as it just leans against my closet so I can move it to get into the closet. My sister did the same thing, attaching hers to the wall, though she used three sheets, side by side. She put some sort of wood edging around it. I duck taped the batting to the foam board, wrapping it onto the back and then taping it down. She used a spray glue to get hers to stick to the foam board. I don't have a picture of hers, but I do have one of mine. Let me see if I can find it.
I cut mine down a bit, but it comes in 4 x 8 foot pieces. It has the pink panther on the back, and I got mine at Lowes. I am very happy with my design wall. Maybe it will give you some place to start...
Dina