Once you've made this decision, you can decide how wide you'd like the fairy room to be as well as how deep (depending on the space allowed you between the two layers of drywall). Once you've made these decisions, cut your wood (I've used 1/4 inch oak here) to the specifications you've selected. You will need a floor and ceiling of equal size, 2 room walls of equal size, and a back wall. You will also want to go ahead and cut the face plate to which you'll attach the door and mount to the wall. The cutting of the faceplate will include not only cutting it to size, but also cutting out a space equal in size to the fairy door frame. I would suggest making the faceplate at least 1 inch larger on all sides than the fairy room itself. This will allow you plenty of space during installation and further guarantee a secure fit on the wall.
Next you will need to gather supplies to assemble and decorate the fairy room. The supplies include: a fairy door, 3 side walls, a floor and a ceiling, small nails, long screws (dependant on size of wood and fairy room), a hammer, a screw driver, a drill, wood glue, scrapbook paper to use as wall paper, foam paper to use as carpet, mod podge, and a paint brush. You may also want to gather the supplies to make the face plate and porch of the room, which include: several fat and several skinny Popsicle sticks, hot glue gun and glue, white wall paint, a piece of crown molding to be used as a stoop, the face plate you've already cut, as well as quarter round cut to finish the edges and a strong adhesive such as wood glue or E 6000.
Measure, draw and cut a hole in the drywall inside room the exact size of the fairy room. Next, trace a hole on drywall in closet using a level to ensure it will match up with hole you've already cut in the interior wall.