Start by cutting some squares of fabric, different colors of fabric work well if they have several fears so they can visualize the colors they wrote the words on. Then with a fabric writing pen, write down the antidote to any fears that the child has. "Go away bad dreams," "no monsters allowed in the closet," "noises don't bother me." They can be as clever as they want with their antidotes.
You can choose to put them in the pillow a few different ways. If you are handy with a needle and thread you can make a small slit in the pillow and stuff them in and then sew it back up. If you are like me and not so good with sewing, just tuck them in the pillowcase with the pillow. Then at night they can have their go-away-bad-dream pillow that can remind them that they already shooed away their scary thoughts.