Roving is available in many beautiful and rich colors. You can buy it locally from high-end wool or fabric shops. It is also widely available on-line:
The Felted Ewe is a wonderful resource for greater amounts of wool, and they ship world-wide.
To Prepare the Roving: Pull off thin layers of roving and wrap it around the pencil. Pull off another thin layer of roving and lay it over the top of the pencil. Make a third layer of roving wrapped around the pencil.
To Prepare the Water: Use hot water – as hot as is comfortable putting your hand in. Mix in a generous squirt of dish liquid (washing-up liquid) with the water. Any variety of dish soap works fine.
Decorate: Place thin layers of different colored roving on top of the pencil. Very gently dunk the pencil in water. Wrap the pencil back in plastic wrap and continue to squeeze and roll until the second color is felted to the pencil.
To make a twirly top to your cozy, gently pull some of the roving at the top of the pencil and shape it with your fingers. Continue to Roll and squeeze the top to felt it. To twirl the roving, wrap it around a chop stick or knitting needle.
You can use as many colors of roving has you would like – experiment with wrapping the roving in different directions to make different patterns.
Dry: Once you have completed your cozy, place it in a warm space (like a radiator, vent, or sunny window) to dry. Depending on how thick your cozy is, it could take a day or two to dry completely.