Denine said, "I use 1/4 " plywood except for longer windows I use 3/4". I make them 4" longer than the window and 4" deep. Then I staple 1/4" foam (available at fabric stores) to it and then staple fabric over the foam. They then get attached to the wall with L brackets above the window.
I didn't "finish" the insides of them but you can by stapling in muslin and then hot-gluing trim around the edges, hiding the staples."
Tip from Denine, "One suggestion if you are going to make fabric ones - if your windows are wide, look for fabric that can run "railroad" - turned on its side - so you don't have to sew or piece it together. In (the first) picture, the large window has three pieces of fabric and the seams are covered the striped fabric. With the other cornice, second picture, the fabric is railroaded so I didn't have any seams."
More Pictures - Wallpapered Cornice Boards