
Much of these instructions have been adapted from
BeJane and
about.com, but I like my instructions better :) I used a simple shape, but if you have proper wood-cutting tools you could make a headboard in nearly any shape you like. There's instructions on the web, elsewhere for making a headboard that attaches to your bedframe. Despite having cement walls, I preferred my headboard to be mounted to the wall. It makes the building process much simpler.
Additional Readings/How-tos
Materials
Plywood cut to shape (MDF is also okay.
Lowes cut my plywood to 24"X55" for a full-sized bed. It's best to have this cut 2" wider than your mattress/frame)
2" Foam cut to the size of the plywood (55"X24" which I bought at
JoAnn's. Foam is really expensive, so you should wait until you have a coupon. Also, foam is not typically sold at widths more than 24".)
Batting, 10" longer and 10" wider than your foam (for me: 65"X34")
Ironed Muslin Lining Fabric, same size as batting
Ironed Decorative/Front Fabric, same size as batting (I used a spare, gray velvet "modern home velvet window panel" from
Target.)
Sandpaper (I used a medium grit)
Drill with 1/2" bit
Staple Gun, staples
Flush Mounts or Other Hardware for Mounting Headboard to the Wall
For Tufting: Covered Buttons Backing Buttons Needle, Thread Needle Nose Pliers
Step 1: Sand Corners and Edges of Plywood 
The point of sanding is to prevent the wood from poking through the decorative fabric, plus it makes the board a little easier to handle
Step 2: Determine & Mark How Many Buttons/Tufts and Where 
I used pieces of paper to determine how many buttons/tufts I wanted in my headboard. Then I marked where I would have to drill.
Step 3: Drill Pilot Holes and then 1/2" Holes 
After marking where you want your buttons, you should drill smaller pilot holes, and then use the 1/2" bit to drill the actual holes.
Step 4: Lay Down Muslin Lining, Center Batting on top of Muslin, and Center Foam on top of Batting 
Make sure you have ironed your muslin, as you don't want wrinkles in your headboard. There should be about 5" of batting and muslin on all sides of the foam.
Step 5: Center Plywood on top of Foam 
Note that I added duct tape to prevent the plywood from cracking in half, this is not necessary.
Step 6: Staple Muslin and Batting to Long-Sides of Plywood Board 
Starting with the center of a long side, fold the muslin and batting over the plywood, and staple gun it into place. Begin with three staples, each 2" apart. Then go to the opposite side, pull the muslin and batting fairly tight over the wood, and then secure the muslin and batting with 3 staples spread 2" apart on that long side. Keep doing this switching and stretching between long-sides, until the muslin and batting are secured, except for 7" or so on the ends.
Step 7: Staple Muslin and Batting to Short-sides of Plywood
Now, pick a short-side, fold the muslin and batting over the plywood, and place three staples, 2" apart in the center of the short-side. You should leave 5" or so unattached on the edges. Switch to the other short-side and pull on the muslin and batting so no wrinkles appear on the "right side" of the headboard. Remember, if you make a mistake you can just pull the staples out and start again.
Step 8: Fold the Edges Like Gift Wrap

Do not pull too tightly when folding the edges, or the plywood may break through the batting and muslin. To fold over the edges, I take the corner and pull it down towards the opposite corner, then I take the left-side (it should be sticking up at this point) and fold it over the corner and then I do the same for the right-side that is sticking up. It does not make much sense in words, but it is like folding the edges of wrapping paper. Or, you can fold the edges in another way, if you prefer.
Step 9: Staple the Edges to the Plywood
Repeat Steps 8 & 9 Until All 4 Edges Are Secure
Step 10: Center Headboard Over Decorative Fabric and Secure with Staple Gun 
Basically, repeat what you did for the muslin and batting (Step 4, 6-9), but you do not need to staple as much. Instead of 2" between staples, 4" or 5" is okay.
Step 11: Add Buttons/Tufts 
To make these directions simpler, I placed the specific instructions for adding tufts and buttons to the upholstered headboard on another post,
here. If you wanted to make the tufts "deeper" you could probably try extra layers of batting. The batting is soft enough that you could pull on it with the thread and buttons to a dramatic extent. (Or you could try the
Diamond Tufting Technique like
Target's Seville Headboard.
Step 12: Mount Your Headboard to the Wall 
If you can't find
flush mounts,
Lowes (and probably
Home Depot) offer a somewhat similar frame-hanging system that costs a little more. I bought two 7" sets which I attached to my headboard with wood screws and to the wall with concrete screws. We'll see how it works.
Done!
Next up: How to Tuft an Upholstered Headboard