First thing is to find a pattern for the letter you are going to cross-stitch. I found THIS pattern (the green letters). Somehow you are going to need to enlarge the letter to the size you need. I saved the image, and then zoomed in and traced the X's. My "P" is 10.5"x12".
Now you need the fabric piece for the pillow front. My pillow is 18"x18". Now that you have your letter pattern, you can trace the image onto your fabric.
The technique I used was tracing paper and a tracing wheel.
Next, put your fabric on a embroidery hoop, grab your embroidery floss/needle and cross-stitch away.
I am not a professional corss-stitcher, so this back looks messy. But you get the point...
Once you have the front cross-stitched, you can sew the back piece on and stuff it, or you can make it an envelope pillow case, like I did.
This pillow is based on THIS post by Design Sponge.