Well, you don't really have to have plans per say. You could go ghetto-fabulous and use a thin (roughly ¼" to ½" thick) piece of foam that will wrap around your neck comfortably and some Velcro to hold the two ends together. If you want to make it pretty, that’s another story. Just look at some examples on other websites and experiment.
As for the materials, you aren’t likely to find some of them at Wal-Mart or Hobby Lobby. You might have to (gasp!) visit a fabric store. The thread and the Velcro you can find at Wal-Mart, the foam is iffy, you might get lucky, and then again you might not. Or, you could do what I did and go to Oklahoma D-day and have a free one handed to you.