Ideally I should've got some hemp yarn but I'm a tad bit lazy and didn't have the patience to go buy supplies. So I used some wool that has been lying in my craft box for the past two years (which was waiting to be turned into a muffler that never happened). I also substituted some of the supplies with locally available products (aka with supplies available at home).
I started off by wrapping a balloon with the wool. I tried two methods - one where I applied the starch on the wool as I wrapped it around the balloon (in the picture below its the orange balloon with the white wool), and, another where I wrapped the dry wool around the balloon and dipped the whole thing into a bucket of starch (in the picture below its the yellow balloon with the blue wool) .
Once the wrapping and applying starch was done, they both were hung on the clothes wire to dry. 
The instructions recommended to let the starch dry for least 48 hours before deflating the balloon. But I didn't have the patience to wait and deflated one of the balloons 24 hours later and this is what happened - :(
So I tried saving it - once the balloon had deflated fully I pushed the wool back into shape and then let it dry for the next 24 hours. It didn't turn out too bad. Here is a picture of it in my room now - the wool got a bit messy because I deflated the balloon early but I think it still looks pretty cool.
Of course I let the other balloon dry fully after I saw what happened to the first one. This one turned out a lot better.
