They were really easy to make. We started out with a plastic grocery bag. Cut off the handles and bottom seam of the bag. Cut down the side seams to use only one side of the bag (depending upon how large the child's head is), and while holding down the bag on their head, tape a circle all around their head beginning at the forehead and angling back just over their ears and an inch or two above the base of their skull. Once you have the circle complete, begin filling in the entire center of that circle, making sure to keep it snug on the child's head so that it will hold it's shape. The directions I had said to use masking tape, but I had more packing tape, so that's what I used--it worked fine. Here's what it should look like after you tape it completely.
Remove the "hat" from the child's head and trim off the excess bag. The directions said to use newspapers or other "curl-able" paper, so I used some old CVS ads for extra color. I cut them into 1/2 inch to 1 inch strips using my cutting board and left the fold intact so that it would open up to a longer strip. You can use a closed pair of scissors to curl the strips.
Attach the curls starting at the bottom edge of the "hat" and working up to the crown by using either double-sided tape (or create your own by rolling the tape into itself). Here are the girls "hard at work" on their wigs. =) They really enjoyed themselves and really love their creations.