A thick and heavy knit sweater or blanket works best for this project, because it's warmer and it'll keep its shape. If you don't have clothes you are willing to cut up, your local thrift store is a great place to find these items!
You'll also need yarn, a hot glue gun, and a sewing machine or hand sewing tools.
Make sure the sweater is folded. Line up the bottom of the shoe against the fold. With a piece of chalk, make a mark where the front tip of the shoe ends. This will eventually become the bottom portion of your boots.
Grab a long string of yarn so you can accessorize the top of the boot. The yarn will allow you to tighten the boot at the top, so it won't slip down your leg. Sew the string onto the boot, and make sure the yarn's loose ends are even. At this point, you can also sew on some cute buttons, or any other accessories that you like.