First you need to get foam poster board or maybe Styrofoam. Point is as long as you can stick a needle tip though it and it sticks it should work. cut out a small square or any shape you want......
then cut off the tip of some pins or use the whole pin if its not to long.

Decide on your design and where you will need to place the pins in the board. start placing the pins and super gluing them in place to be sure they don't fall out.

Keep placing the pins in place and imagine the way the thread will go to make your design.

This picture shows all the places where the pins will go and an idea of how I will put the thread around it.

Once you have all the pins in place and super-glued down take some thread and tie it very well around the middle pin. then take the thread to another pin you want and wrap it around then move onto the next pin and keep doing that until you have finished the design. if you want maybe do it again to make the design more noticeable.

After you have finished the design and have tied it securely make a loop to put on a chain and your done :)