I honestly thought I'd already posted this on here before as I'd had it on a few forums about five years ago, but I can't find it anywhere so I suppose it's better late than never!
As it's quite an old tutorial, I make my rugs slightly differently these days, but hopefully this should give you all a simple and relatively easy to follow guide to make your own.
First of all, you will need...
Felt. (I'm only going to be concentrating on felt for this one but you can of course use fabric as well)
Bias Binding. (You can get this from most haberdashery shops or buy online. Wide ribbon works just as well if you don't have any)
Glue. (I use 'Bostik All Purpose')
Ribbon/leather for straps. (I used fake leather ribbon in the end so it's not visible in this pic)
Needle and thread. I used a single strand of embroidery thread as I couldn't find my normal sewing stuff in the right colour. You can of course use a sewing machine but I unfortunately don't have one.
Wire. (for making buckles - disregard if you have premade Rio Rondo ones or alternative fastenings)
Pliers. (for making buckles/holding stuff together etc)
Scissors. (I don't think I need to tell you what those do lol)
A horse to wear it!