Some black fabric to cover the pillow (if you're using a dark color yarn like I was)
The bulk of the time it took to finish this project was used crocheting a large rectangular scarf-like piece to go around the pillow. I used the pillow as a guide for length of the crochet piece and kept stitching until I got about a 2-3 inch overlap on the ends.
I then crocheted around the entire pillow sewing the two sides together in the process. In the figure below you can see where the piece overlaps, which is where you insert your pillow.
I realized that, even though I used a small single crochet stitch, you could still see the white of the pillow through the crochet so I wrapped some black jersey fabric around the pillow before I put it in to the crocheted case. Here is the finished product. You can see how I made the gray pillows here.