I've tried a couple, and I thought it was pretty easy. The first one I did, I just fluffed up a small pile of white roving and stuck it in the toe of an old stocking, then working over the bathroom sink with some soapy water in the basin, I dipped it, agitated it with cupped hands, with a little soapy water until it got to the hardness/roundness that I wanted (loosen the stocking from it a couple of times or it'll felt to the ball). Then I made a thin batt of some nice colors and lightly felted around it. It becomes like a loose skin that's not attached to the ball, but you keep working it evenly, and eventually it snugs up and tightens around the ball. Very coooool.
The second time I made one I skipped the stocking and just worked with my hands, and thought that was better. I've made a couple since then without any troubles...in about 1/2 hour or so.
The biggest problem is trying not to get little wads or flaps of felt on the outer layer, and keeping the outer layer even enough so you don't get thin spots. The nicest thing is that if you screw up a little, you can just add another layer and cover it again until you get it the way you want, or run out of wool!!!
I also bought a kit for $10 including shipping on ebay from someone, but I never used it. It looks great and has enough plain roving and assorted colors to make 3 small balls, plus instructions. I can't find the info in my email, but I can look at the kit if anyone is interested in the seller's info for that--PM me!