Langloi, thank you! It is pretty straightforward so ill try my best to explain.
1. For the headboard itself, plywood seems to work well and is inexpensive. You can either cut it into a pattern like I did by tracing a line on craft paper and using it as your template on both sides, or just doing a standard rectangle. I have done both and they both look great.
2. Lay it face down on batting (can be found at fabric stores) and use a staple gun to pull tight and staple all the way around. It doesn't have to be pretty because you won't see it. If you aren't going to do nailheads, you can put a layer of foam under the batting before you staple it on. That will make it more plush. This doesn't work with nailheads though because the foam prevents the nailheads from going all the way through .
3. Repeat with fabric. Leave about two inches extra on all sides to make sure it will fit. Just pull tightly before you staple so it's smooth. You can trim off excess after you're done.
That's it! Hope this helps!