Grandma used some really thin (2 or 3 ply) yarn - probably leftovers from the knitting mill in town.
She knit a rectangle, folded it in half and fit it around a thimble. (The rectangle was about 2.5" wide. You will have to measure it up to your thimble for the length.) Then another color combo (blue and white) knit to go around that, and then another (reds) rectangle folded to fit around the whole thing. Each is pulled tightly.
Then on the bottom a circle of felt - probably glued on and stitched with big stitches to hold the felt on. (No filling needed!)
I've used it since 1974... without a smidge of trouble. The thimble fits in the center, and it accommodates (probably) hundreds of pins. You can even put in a nail between the knitted rings and it stays put. Sew in the world of wondrous pincushions - I have the best one.
Now show off your favorite pincushion - if you dare. LOL
Have a wonderful weekend!