All of these projects are made from wool roving. Wool roving is wool that has been sheared, washed, carded and dyed (sometimes) and it is soft and fluffy.
The next stage would be to spin it into yarn.
Wool roving is felted by piercing it repeatedly with a very sharp barbed needle, needle felting, or by agitating it in hot soapy water, wet felting.
The needles used for needle felting are extremely sharp (and you should use extra caution for yourself and for your kids) but it is possible for children to enjoy these projects with adult supervision.
Seeing the process of fluffy wool roving turn into a sturdy felted object or picture is magical so I hope you'll give it a try!
The Magic Onions has a nice post about beginning needle felting with kids that uses a cookie cutter. This is a great method to get started with and also a nice way to add appliques to other felted wool projects.