Janet, first decide how large you want your design wall to be. In my humble opinion, they can never be too big!!
(I have a sewing room in the basement with no windows and two entire walls are covered with design walls!)
Take a straight pin and visit the insulation department of your local home improvement store. You will find several varieties of 4'x8' sheets of insulation board. They come in different thicknesses and different compositions. Use your pin to stab into each kind that is available and try to wiggle it around. You will be able to tell by doing that which ones will securely hold pinned quilts. Some will feel like the pin just going to fall out and some will be really difficult to even get the pin to penetrate! You want one that feels "just right"!
If you can't get the full 4'x8' sheet in your vehicle, have them cut it in half for you. You can use duct tape to put it back together. If you don't have room to mount the full sheet on your wall, you may want to use duct tape to fashion a hinge between the two halves. That way it can be a free-standing unit just propped open like a book, and can slide in a closet or under a bed when you are not using it!
To cover it you can use flannel which usually comes 54" wide so you can cover a 4'x8' sheet with no seams. I got mine at Hancock's of Paducah and it was 108" wide, so I have covered two entire walls with no seams! :shock: You can also use fleece or felt or even cotton batting as a cover. You just want a fabric with a fluffy surface that your quilt fabric will adhere to without using pins. That works for fabric swatches and blocks, but after you get a large section stitched together, you will need pins to secure the extra weight.
My flannel is white, and the pink color of the insulation boards I chose shows through. For my sister's design wall that we created recently, we used a light grey flannel that covered the colored boards, and it looks really good!
Cut your flannel (or chosen fabric) to be large enough to wrap around the edges of the board. Lay the board flat on the floor and spray the surface lightly with adhesive. 505 brand works well. Lay the flannel carefully on top of the sprayed surface and smooth it all flat by rubbing it with your hands. Turn the board/flannel over and secure the excess fabric to the back of the board with duct tape. That's all there is to it!
I used long sheet-rock screws about every 18" around the perimeter of the board to secure it to the wall. Someone else may have some better ideas for something that looks more finished.
Enjoy your design wall. I don't know how I ever worked without one!