Get some fleece, cut out a rectangle that is 2 times a long as you'd want the finished bag to be deep (you'll fold it in the middle) and about 4 inches wider than you want the finished bag to be.
After you fold it in the middle to get your desired bag length, you'll need to cut strips that look like fat fringe down both sides. Make the cuts about 2 inches long; they will run perpendicular to the sides and parallel to the fold you made. Aim for maybe half an inch between each cut. Cut through both the top and bottom layers at the same time so that you end up with perfect pairs running down both sides. Once you've made all the cuts, tie the bottom strip to the corresponding top strip.
If you have really nimble fingers, you can make the strips thinner and shorter than I've suggested.