Stab a hole in the toilet roll with the pencil somewhere in the center.
Place the feathers together with the points overlapping a bit.
With the piece of feathery wool (you can use normal wool too) tie a couple of knots around the points making sure they are secure. If it's getting a little fiddly, use a bit of tape to hold the feathers together and then tie the wool around them.
Feed the other end of the wool through the hole from the bottom of it.
Push the feather through the toilet roll and pull the wool until it won't go any further. Make sure there is a feather sticking out either side of the toilet roll.
Then give it to your pussy cat!
(Sorry about the dark picture)