I used some rubbery shelf liner from Dollar Tree, an extra embroidery hoop, yarn, and a blunt yarn needle. I threaded the needle and knotted the two ends of the yarn together so it wouldn't come unthreaded. Soon I'll teach her to thread it herself, so she can switch colors on her own.
It was so sweet to watch my little one diligently working away at her embroidery, curled up in a corner of the family room. She even took the hoop to bed with her at nap time. It won't be long before she'll be ready for a sharp needle and some Aida cloth. Then the real fun begins!
(Do warn your child that if s/he pulls too hard, the backing can rip. Meg only had to do it once to figure that out the hard way.)

Other activities in the series:
Color Matching with Gift Bows
Magnetic Colored Popsicle Sticks
Magnetic Pom Pom Balls
Erasers and Suction Cups Activity
Paint Chip Matching Game
Uppercase and Lowercase Matching Eggs
Animal Matching Game
Pool Noodle Art
Button Snake Toy
Memory Matching Toy
Ribbons in a Bottle Toy
Clothespin Clipping Toy
Pom Pom Push Toy
Pipe Cleaner Poking Toy
Fun Boxes