You will need: felt sheets, scissors, Dolly pegs with stands (I got mine from here £1.60 for 10!), thin ribbon, thin wire (e.g. jewellery making wire, about £1 a spool), hot glue (or PVA glue)
Cut a long rectangle of felt, just under twice the length of your peg. Fold it over.
Trim the sides into a kind of truncated triangle shape and cur a v shaped hole for the peg's head.
Dress the peg in the tunic and use a piece of thin ribbon or wire to make a belt, which will secure it to the peg.
Cut a smaller rectangle as a head dress (you will have to make a judgement on how big, based on the size of your peg!).
Wind some wire around your index finger to make a band to secure the head dress to the peg.
Hot glue the head (top and sides) so that the head dress will stick. PVA will work too, but it will take longer and you'll have to hold it!
Add the head dress!
I'm sure I could experiment with pipe cleaner arms but I quite like these as they are for the time being!