We basically bought 5 Italian Officer blankets off Ebay (They are roughly the size of a queen bed), and then a bunch of wool batting from a website that sells pre-made wool mattresses, but also just bulk wool.
I think I looked into it recently and we spent something like $700 on materials.
But then you just put down the first blanket, lay down a layer of the batting (I don't remember for sure, but I think it maybe came in queen size bats already from where we bought it), and then repeat.
We stitched around the outsize with yarn using a baseball-style stitch to keep everything sort of fixed in place.
That is how it looked when we first made it, so its a bit more worn in by now. The reason it looks like there are only two layers is because of how we stitched it and how the excess batting was spilling out past the blankets a bit.
I've never tried to actually roll it, but you can fold it in half pretty easily. Folding it half again would probably be doable, but I think that's about as small as you would get it. Rolling it might work better, but I've never had a reason to I guess.
