This was so easy and it feels so good I'm kicking myself for not making one before.
I didn't use any tutorial in particular. It's just a piece of flannel about 16" x 14" folded in half to make 16"x 7". I stitched along one short side and the long side, turned it right-side out and stitched two rows along the length to divide it into three channels. I used a makeshift funnel to fill each channel approximately two thirds full with a mixture rice and a bit of lavender, and stitched the end shut. I like this shape because it can be used as a flat pillow or the channels allow it to sit easily around your neck. I've already made a second one a little bit longer (this time in a fine corduroy) and I think that works even better around the neck.
About a minute in the microwave makes it lovely and toasty for applying to aching muscles. I used rice because that's what I already had in the house, but I've seen them made with flax seed and feed corn too (not pop corn, that could be interesting!).
The two I've made so far are making their way to Sweden with our visitors, so I will have to go and make another one for us to keep.
P.S. If you do make one make sure there are no metal threads in the fabric!