How funny you should ask!! I am getting ready to film a tutorial about just this very thing!
I just uploaded my third series of felting videos to my site http://www.feltinglessons.com
and am going to do the shorter non-series videos in the next couple of weeks.
Rather than have you wait to find out, I will explain it here first
Take the whole length of the roving for as long as your intended rope.
Split it into about 1/3 or however thick you want your rope.
Lay down that portion on a bubble wrap and lightly spray it with hot soapy water from a mist bottle
LIGHTLY roll it on that bubble wrap without pressing down hard
If you rub too hard you will get a crease
If you do get a crease, don't encourage it... just lightly rub in that spot until the rest of the shrinkage catches up with it (you'll see what I mean)
Do this light rolling until it starts to firm up. Be patient! It will happen, and slower will make a nicer end result.
As you feel it is firming up under your hands, you can increase pressure.
Keep rolling even after it firms up for a minute or two
To get results faster, switch to ridged shelf liner when it is firm enough
The longer you roll, the stiffer and less fuzzy it will be.
Rinse with hot, then cold water.
Best of luck on your project! Post pics when you are done