First, let me start off by saying that felting is one of my favorite things to do when crafting. There is something so ridiculously satisfying for me about turning a giant fluffy wad of wool into a nice, compact little ball. In this case, these balls also are extremely useful. As an incoming college student I'm always looking for ways to save money, and these lovely little balls can be tossed in with your wet clothes in the dryer to work their way between the clothing layers, eliminating the need for fabric softener and cutting drying time.
Here are your supplies: yarn, wool roving, and a stretch of old tights/pantyhose/et cetera. The best yarn to use would honestly be 100% wool yarn so the inner layers felt as well as the outer roving, but honestly I used an acrylic blend and it worked quite well. I got my roving here with a coupon code but a quick google search could easily find you many more varieties. As for the tights, I snipped off the leg of a pair that I was tossing out and have saved it for all my felting projects but you could just as easily buy a cheap pair from pretty much anywhere.
Now divide your yarn into as many individual balls as you would like, or as many as you can. I managed to get three tightly wound balls from one giant one, but feel free to do fewer (or more) if you like. I've found that for actual functionality, three work well in the dryer.
Then take your roving and begin to lay it out. You want to cover as much area as possible while making sure there is none of the original yarn showing through. Feel free to mix colors, cut shapes, do stripes, et cetera.
Enjoy, and welcome to 2013!