I've been making so many of these pins this week, I thought I'd better take some photographs and do a tutorial... even though they are so easy, really, as to not need much instruction.
You will need:
Two felted shapes (in this case hearts) that are cut exactly the same
A darning needle and length of yarn that's even longer than you think you're going to need
A backing pin.
Run the darning needle through the wrong side (which will become the inside) of the shape you'll be using for the back, at the point where you want the pin to sit.
Don't make a knot at the end or pull the yarn all the way through - if you leave a tiny tail, you'll be able to secure it and the pin at the same time.
Now start sewing on the pin on the right side (aka outside), catching the original run of yarn as you tighten each stitch so it's held in place.
Once the pin is on, bring the yarn back to the wrong side (inside) and catch just enough of the fabric to run the yarn to the edge of the shape without anything showing on the right side (outside.)
Position the front piece with its right side facing away from the back piece, perfectly placed to match every curve, and begin a border of blanket stitch (instructions here, compliments of the awesome Stitch School.)
... and that's about it.
You may find they're rather addictive.
This isn't the only thing I've been up to with my felted wool hearts, but that's a tutorial for another day!