If you can, do find a wooden egg or a shape close to it. You will be so much happier with the process if you have wood to wrap your felt around....the wool sticks to the wood better at first, making it the perfect form for children. Plus, for me, I am trying to avoid buying more plastic, so plastic eggs are just not around.
Egg with roving.
Start wrapping like the felt ball...you will have some "extra" wool on the ends. Take that off and wrap it around the egg going the opposite way, so you have two layers that criss-cross:
You can also add strips of other colors at this point. Now, begin felting just as you would felt a ball:
Don't let them go too far!
Oh, thank goodness, Mother Hen has them all safe and sound.