I made a poseable needle felted Luna.
You'll need roving, felting needles, wire, and a felting mat.
It's super easy to make your own, so here's the step by step photos:
First you're going to need to make a metal armature. I used leftover Christmas hooks, but any thin easily bendable wire will work. If you're new to bending the wire I suggest using a picture that's the same size as the pony you'd like to make, and use it as a guide for where to put the joints.
Take your roving and roll it into a ball a little larger than you'll want your finished head. Then form it around the armature and stab with your felting needle until firmly affixed to your armature. You shouldn't need any glue to hold it in place. For the ears roll a pea sized chunk of roving into a flat disk. Again stab with the felting needle till firm, then stab again to affix to the head. As you've probably guessed it needle felting is mostly roll and stab.
Here's with the rear legs attached. Notice that I left the abdomin still quite thin. That is so I can easily add the wings.
The easiest way to make the wings is to roll the roving between your fingers till they resemble long flour petals. I usually place the armature along the top curve of the wing for poseability. You can also see I've started adding detailing.
Here I've added the cutiemark, crown, and hoof decorations. For the tail I too a long piece of roving and rolled one end into a plug. Then using the needle I stabbed it into place. Again you shouldn't need any glue if you're properly felting as you go along.
To curl the mane I gently wet it and rolled it around a straw. That gives a nice soft curl.