I bought a peg loom a while back.
Even though it is easy to use, I couldn't find anything thick enough to give a good result.
However, one of my local craft group members made this the other day, with some "bobble" wool, bought in Noz, for 1.95 per 10 balls
She made it in an evening and it is really soft and fluffy.
Here is a good piece aboutpeg looming, which may entice you to give it a whirl