1
Get a glove. Make sure it has cloth fingers, not rubber. Rubber is too weird to sew through
2
Get a bunch of doodads and thingamabobs to sew on to the undersides of the fingers. Just get a bunch of things you can pull a needle through. It's better to use squishy items so your precious kitty doesn't get bopped on the nose.
3
Pull your needle and thread through your little critter or whatever you're using and sew it on the to the glove. it just takes a few stitches
4
Sew them onto all four fingers and then you're done!
5
Play gently with your kitty. You only need to wiggle your fingers a little bit to get them moving. Try using thicker string so they don't get tangled