I am not going to write a full tutorial because there are great ones here and here. A good felt flower tutorial can be found here.
I do, however want to offer a few tips that will make your yarn wrapping easier!
1.) Use hot glue. This will make things a lot faster as it dries almost instantly.
2.) Carefully consider which way you need to wrap first in order to cover all sides AND get the yarn running the right way on your final wrap. Most letters need to be wrapped twice to cover all sides.
3.) Multicolored yarn is more forgiving.
4.) Denser yarn is also more forgiving. Loose yarn needs to be pulled tight and makes a mess of the hot glue.
5.) To save yarn, wrap the ends with short individual pieces as this tutorial shows.
6.) Plan about 3-4 hours for each letter.
Happy crafting everyone!