Here's the point and it is sharp so watch it!
First, you need a thick firm piece of foam. Next, the barbed needles made for needle felting,
Black Sheep Designs is one of the places I first ordered from. You will also need wool. I ordered sample packs with just a couple of ounces in each color. For my small scale these packs go a long way. The grey wool is merino combed top. It is the finest wool you can buy. It wet felts very well. It isn't usually recommended for needle felting, but it works fine for surface coloration. The green wool behind has a coarser texture, which is what you want for needle felting. Black Sheep Designs also carries "Core" wool, which is not dyed and quite coarse.