I found this fabulous idea at http://countingcoconuts.blogspot.com/2010/06/montessori-monday.html and my kiddos absolutely loved not only making them but playing with them too. And...we have not even gotten them wet yet. They always want to play catch and throw the ball back in forth inside (it rains a lot in SW Washington and you have to have a battery of good indoor activities for the winter months) and these do not hurt when you get hit with one. Important for my 12 month old who isn't quite playing catch yet!
We bought a large package of regular household sponges and some colored zip ties at the dollar store. Using different colors of zip ties helped up tell them apart from each other once they were finished. We cut the sponges lengthwise and I stacked the pieces up like you were playing Jenga so the centers were all aligned and tied the zip tie around the center and pulled it tight which created the ball shape. I trimmed the zip tie closely so they wouldn't be sharp and ta-da...a new, affordable toy that we had so much fun making!