Take a small section of wool roving - it needs to be quite loose with soft edges. Obviously it depends on the size you want the final item to be but a piece about as large as my hand was enough to make the final balls that were approx. 1cm in diameter.
From there it is about dipping it in the hot and cold water bowls alternately, rolling the ball round in the palms of your hand in between - the longer you roll the firmer the ball gets and the harder you can apply pressure to it. At first it will be very squishy and hard to keep in a ball shape, be patient it will suddenly begin to firm up. Dipping it in the different temperature waters it will help the felting process, it will also help to get rid of the soap as you progress.
Keep rolling until the ball feels really firm. You will need to leave it for several hours to fully dry out. Here are my finished examples - with the larger one I started with the same size piece of roving and just added layers as the ball became firm so that it should be solid all the way through.
My daughter loved joining in on this activity - a great idea for a rainy day craft. I was very impressed with her finished leaf and flower - I tried to recreate this myself but couldn't make anything that was as impressive!!
There are lots of tutorials for making felt balls. I came across this one recently which seems a fairly unique way to create felt from Meg@Megacrafty at http://www.megacrafty.com/2011/09/tip-easy-way-to-make-felted-balls.html. It sounded too good to be true but having tried it out it definitely works!!