Sam, I have made mine using the Knifty Knitter. Walmart and almost any craft store like AC Moore and Michaels sell them.
http://www.provocraft.com/products/d...=&item=21-0100 You use the green loom for the cocoons and you can also use the smaller looms for cute little hats for infants and toddlers. It really is super easy. Trust me, I am definitely not a knitter.