Remove the headboard and footboard from your bed, leaving only the mattress on the bed frame. If you do not have a separate frame, you can purchase one inexpensively from a mattress store.
Cover the mattress with a fitted cover. You can purchase a cover or make one from upholstery fabric, denim or cotton duck.
Push the bed into the corner, so that one long side and one short side are against the walls.
Cover long, fat "body" pillows with a fabric that coordinates with the bed cover. The fabric can match or contrast. Arrange the pillows against the walls. This will allow people sitting on the daybed to lean back comfortably.
Cover large (24-inch-by-24-inch) throw pillows with coordinating or contrasting fabric. You can use these pillows instead of the body pillows. Sew snap tape to the back of each pillow, along the upper edge. Staple the rest of the snap tape to the wall 24 inches above the top of the mattress. Snap the pillows onto the tape, where they'll form the backrest for the day bed.