I went to a peg loom weaving workshop to learn the basic techniques and get some ideas, but it's really easy to learn, just Google it. Unlike knitting your 'mistakes' become features rather than something you have to unpick!
The weaving takes shape really fast, in fact the most time-consuming part was sewing the lining in and sewing it all together.
I added some belly dancing coins to the bottom as I like it to jingle!
It's not the most robust of bags, but with care I hope it'll last.
If you can source yarn in charity shops etc. it'll be a lot cheaper, and almost anything comes out looking amazing on peg looms. You can also use unspinned wool.