That stitchworks site doesn't have an AEPhi angel...

Well, maybe I can adapt the KD one.
texas*princess, I've never made any of my cross stitch work into pillows, but I have with needlepoint. You can use either a pillow form or cotton or poly stuffing material. Pick out a nice fabric as your backing, and cut it to match the size of your aida cloth (so you have a margin). Then put the two pieces wrong side out and sew around 3 sides. Turn it right side out, insert the stuffing or pillow form, tuck the edges in, and overcast stitch the 4th side. Obviously, if you are using a pillow form, you will have to adjust your sewing to the size of the form so that it fits properly. HTH