This is a great project when you're just a beginner. If you don't have the pellon and heat-resistant batting (which you can buy at any fabric store) you can use old denim for the backing and flannel as the batting. Don't use regular cotton fabric though because it will definitely burn.
Make a quilt block. Any will do but it should finish to be about 8" square.
Make a quilt sandwich with the pellon on the bottom (shiny side out), heat resistant batting in the middle and the quilt block on the top. Baste with pins.
Quilt it. I did a cool octagon design but you can just randomly sew or follow the blocks or whatever.
Bind the block with 1/2" double fold binding (or make your own; see my half-apron tutorial for a how to for that binding).