You will need patterned paper or cardstock and a piece of vellum the same size as the paper (whatever shape you'd like to do - I'd suggest squares or rectangles to start off with).

You sew the Vellum over the paper on three sides. I usually do a straight stitch AND a zig zag to make sure any glitter I use doens't escape the shaker.

Then you can put items into the shaker such as: diecuts, paper punch outs, glitter, ribbons, gems, etc. Then you sew the fourth side of the shaker closed.

You can adhere the shaker to cards or put it in a LO.
Here's a link to a Vellum shaker in my gallery :)