You can sew them or glue them or embroider them! I managed to make my set with ALL sewing!
OR you can pull the image below off the page and onto a word document. The pattern is for an 8 1/2in by 11in piece of paper so just resize it to fit.
I purchased wool felt scraps here at The Felt Shoppe.
You can find them elsewhere but these were my favorite for quality, quantity and price. :)
You will print the pattern off (on cardstock), cut out the shapes and use as a guide for your felt pieces. You will cut one of all of the pieces but the bodies. You will need four of the angel and baby Jesus body, four of the sheep and donkey body and twelve of the other bodies (either basic or "fancy").
Hope you enjoy making your own set! :) There's lots of room for creativeness to take the reins!