Patons Classic Wool Roving - You can find this yarn at Joann Fabrics. It is a bulky  yarn that is 100% wool. The felting process will not work if the wool isn't pure animal fiber, nor does it work well with superwash wool (wool that has been treated)
US size 10 straight needles - I recommend using either long straights or if you are comfortable knitting with circular needles, you can knit straight with a pair of circular needles.
Scissors and a Darning Needle - Having a small set of scissors in your knitting to-go bag is always a plus! We'll use the darning needle (large eye needle) to sew the seams on our mittens.
The gloves are a little plain, but sewing a few buttons, decorations, or embroidery can make them chic and elegant. This is optional.