These are handy if you find yourself walking around while working on sewing projects. All you need is a scrap of fabric, a fistful of stuffing, a scrap of elastic, and a bottle cap. I used a frappucino lid. Make sure the elastic can stretch to fit over your hand. All I did was sew the elastic together to make a loop, then hot glue the cap onto it. Cut a small square of fabric then wrap it around the stuffing and sew it shut to make a mini pillow. Then hot glue it into the cap. VOILA!
If you make it too big, just move it up your forearm. And I'm sure you could use other glues, I just have a hot glue fetish.