I'd think the mailbox was two layers of felt with some stiff interfacing in the middle. It seems to hold it's shape really well. The package looks pretty easy (and so cute!). That looks like it is two pieces of felt and quilted up in lines. The envelopes are probably the easiest part of it all. The set in the store actually looks like it's predominantly postcard-like pieces of mail which would be even easier than an envelope. I couldn't tell from the picture, but it would be really cute if the flag flipped up.
Also, you asked about a needle? I just use a hand sewing needle. I think they make needles especially for embroidery as well. I use three strands of embroidery floss usually when I make felt food. And I use a blanket stitch around the edges.
Here's a really cute tutorial for felt cupcakes:
http://hoogliart.wordpress.com/2007/...cake-tutorial/
Here's another cute cookie idea. She did a border of of another strip cut with pinking shears, which I think looks really cute. And used french knots instead of beads (good for younger kids).
http://www.craftster.org/forum/index.php?topic=187212.0
And here's a tutorial for using whip stitch and blanket stitch on felt:
http://www.futuregirl.com/craft_blog...-sew-felt.html
I had planned on making my 3yo DS felt play food for Christmas but I haven't even started! I have all of my supplies though. So hopefully, I can get it done. I want to make a sandwich, some cookies and a pizza, hopefully. I'd love to make the cupcakes too.