Measure the size of the bed. Two inches added to the width is normal for a headboard. The height should be conducive to the purpose of the headboard. If you sit up and read in bed, the headboard should be taller than if you don't. The shape should also be considered; most headboards are rectangular whereas an ornate shape will likely be higher in the center of the headboard.
Cut the plywood in the shape you have selected with a jig saw. Smooth the edges with a sanding block.
Lay the fabric wrong side down on a flat surface. Lay the wood on top of the fabric. Draw the outline with a pen. Add at least six inches all the way around the fabric. This will give you plenty of fabric to upholster with.
Spread the batting out the same as the fabric. Draw the outline without extra batting. Cut the batting as close to the shape of the wood as you can. The fabric will hold it in place.
Smooth the fabric out flat, wrong side up. Lay the batting on next, followed by the wood.
Stretch the fabric around to the back of the plywood headboard. Staple into place, folding the corners as would if you were wrapping a box with gift wrap. Check the alignment of any patterns before finishing each side. Continue stapling until the fabric is taut and secure.
Mount the hardware on the back of the headboard and on the wall. The headboard will slide into this hardware to keep it secured. Attach the mounts to studs in the wall. This is important because your headboard is bound to be heavy and the studs will be able to suspend the weight.