Blind-stitch-applique the edges of all felt appliques using ecru quilting thread. When working blind stitches, pull the thread tight so it "disappears" into the felt; use small stitches, working just into the edges of the appliques. Separate the six-strand embroidery floss and use three strands for all embroidery. Backstitch Santa's nose with dark brown floss and the bird's tail with blue. Sew black-bead eyes in place.
With wrong sides together, pin the pillow front to the pillow back. Blanket-stitch around three sides using three strands of red embroidery floss. Insert the pillow form and then pin and blanket-stitch the opening closed.