Not wanting to spend any excess money on this project, I used foam core we already had in our shed to create the skeleton for my "M", but cardboard would easily do the same job. First, I cut out two matching "M"s that would be the outside of my skeleton. to give the letter a little dimension, I layered my foam core stacks into rectangles four layers deep and hot glued them to one "M" at strategic points (I later learned I would have done well with a few more rectangular supports, but that's just something you learn along the way, I suppose). Then I sandwiched the second "M" on top to get a nice, thick skeleton for my letter.
I decided I would wrap yarn around my letter from side to side, which meant the tops and bottoms of each segment would be left naked. To prevent this, I hot glued yarn in a zig-zag pattern across each end, going in about 1/2" on either side until the end was capped.
To secure the beginning of my wrap, I hot glued an end of the yarn inside the skeleton (so the end wouldn't show when I was finished) and began wrapping. It didn't really take that long, but it was really difficult to wrap the yarn around the top of the "M" where the edges aren't perpendicular to the direction of my wrapping. I attempted to use pins to hold the yarn in place between each layer, but I realized it was easier to just apply a dot of hot glue every 1/2" and then readjust all the wrapped yarn to sit nicely. I also attached a double-strand of yarn across the top of my letter so it would hang on our wreath-hanger on the front door. Now, my door is nicely dressed and I get to express even more of my "M" love!