I got the idea for making these simple fleece balls in a Waldorf-inspired book called "Creative Play for Your Baby" by Christopher Clouder and Janni Nicol. They were very easy to make and my son loves them. I used some of the wool batting that survived the awful moth infestation we had earlier this spring.
To make these balls, all you have to do is wind the batting round and round until it's a bit bigger than the size you want the finished ball to be. Then, take scrap yarn comprised of feltable wool and wrap it around, or needle felt it onto the ball in various patterns. Wash in the washer on hot till it's the desired size. Needle felt to tidy up any loose segments, or add additional embellishments, dry, and give to baby.