They are made from tennis balls. And let me tell you, I don't recommend my method!
I painstakingly ripped the fuzzy fabric off of the ball to have a pattern for the fur I was using. It took HOURS of intense effort to pull off and ended up stretching across the width so the pattern was to short and to wide, so I had to tweak it, which also took forever and wasted fabric. Not to mention what a pain it is to get the shoestring through a tennis ball.
But, in the end, it was worth it. I love my little severed muppet heads!