I made this for my niece's 4th birthday, though I think my DD was more interested in playing with it. I will make one for DD when she is a bit older (and I can be bothered!!).
I found this tutorial and if I could post a link properly I would. I made some slight changes in that I didn't use the plastic suggested and just got some thick cardboard from the newsagency. I also didn't use wadding but I changed it for fusible fleece (just because I had some). I just hand sewed this together to hold it in place and put the 'sticky' bit of the fleece on the outside so it would stick to the material when wrapped (which it did!!). It also meant I didn't need to use the tape to wrap the batting around. I did do the exact instructions for a mock up one, but found it too small so made a larger one.