I'm certainly no expert, but I made about five last week and they worked. So, this is what I did. (You can see some pics on my blog in my siggy.)
I used a plastic Easter egg. I used wool batting that I normally use for stuffing toys. I pulled apart a thin layer and wrapped it around the egg. Wrapped another layer, in the opposite direction. Continued until I had made about 5-6 layers.
Got it wet with a 2 parts to 1 part mixture of hot, hot water and Dawn (1 part Dawn, 2 parts water). It was pretty wet. Maybe too wet, but it worked, so who knows.
Just started manipulating the egg in both hands trying to keep it all together carefully. As it started to felt up, I started to rub/roll it on a bamboo mat (that DH normally uses to make sushi


that I laid on top of a towel. I sort of cupped the egg in the palms of both hands (one on each side of the egg) and rubbed and rolled it on the mat. I'd say I had to rub it on the mat for about 10 minutes. I think I added more soapy water halfway through as well. Finally when it was felted up nicely, I rinsed it out with warm water and set it to dry (took about 2 days). I never did the "shock with cold water" thing or anything like that. I really think the bamboo mat was the key. I probably should get a washboard for next time though. The mat smelled like wet sheep for awhile afterwards!
HTH!