How big a space are we talking here?

I'm not sure I'd be giving a 6yo pushpins, but what do I know. :-) I'd go for a magnet board instead. If you can get nicely framed long mirrors very cheaply, remove the mirror itself and replace it with a sheet of masonite (a smooth, thin board made from paper and wood pulp - available at Lowes/HD/etc.) which you have painted with magnetic paint. Back small (1") mirrors or large faceted "gemstones" from the craft store with magnets for sparkle.

If there's enough room, the bulletin board on one side and a small dresser/drawer unit (like nightstand size) on the other to hold her art supplies, dress-up clothes, or whatever else, and a fancy lamp and clock on top. Check unfinished furniture stores for inexpensive ones, since you're willing to paint. You could even decorate it more "princessy" with wooden appliques, which are available from Lowes/HD/etc. in the moldings department and just glue on, and pretty knobs.

The difference in space between the ends of the headboard and the ends of the footboards will be the difference between the width & the length of a twin size mattress. The narrow type mirrors would perfectly fill the space-despite their length would be hidden towards the bottom, as the mattress would cover that.
I am in the middle of painting (2) nightstands-13"x14"-in the creamy white with oval, wooden filigree appliques centered on each door of the stands. Same appliques on the hutch doors & on the footboards. I am DYING to show these pieces off here & at the KT, when finished, but my webtv type unit can't get into photoshop, etc.
I also found a sweet 30" vanity that has a middle door that opens, with hooks for jewelry & on each side of the vanity are 2 glass frames to slip in 3x5 phots. She will LOVE that. Vanity bench as well. Found a crystal chandelier in Clearwater antique store & 2 wall sconces (ebay) which I had changed to an electric cord vs hardwire ($50!!!), then I painted them in the 14k liquid gold, with crystal prisms tiered from the sconces. I have 2 other lamps-with beaded accents. Whole room will be lavender & pink and am stenciling portions of the walls in castle stone (pinkish beige w/drybrushed shadings) and arched windows that will hold scenes from 'Cinderella' story. OH! I even found a wire coach (14" high) which I am going to add extra fine iridescent glitter to the frame. Got Cinderella Barbie doll to place inside the coach. Can't wait to get to PA to do this..leaving Aug 22nd.

Oh, okay, I was confused... I thought you meant between the sides (footboards) of the "daybed" and the walls. Duh. Can I blame my brain cramp on being short on sleep and bummed about a plumbing bill? :-) I wouldn't run anything down behind the mattress and doubly so with anything potentially breakable like a mirror, even if it were covered by cork. (I can imagine rolling over in bed and knocking a tack off the board and into the bed - ow!) What about putting magnetic-painted backings in poster frames, which are long and narrow but shorter than the standard door mirror size of 12x48; Michaels and JoAnn's both have 50% off sales on all their frames pretty regularly and I know both stores have a nice selection of poster frames. I'm guessing off the cuff that a 12x20 would be a good size, high enough off the mattress to keep pillows and bedding from pulling things off but still using the space you have available, and it's a pretty common stock size.

However, it does sound like you're pretty handy, and it's not very hard to put together a frame of exactly the perfect size out of stock moldings from the home center, some of which are even available pre-primed. A small hand miter box with the saw included can be had for under $20. Use flat corner braces to put them together. If nothing in stock is fancy enough for you, Home Depot can order some very pretty wood moldings from a company called House of Fara - I used moldings from this company in my previous house and was very pleased with the quality and pricing, and the convenience of their being delivered directly to my house. (I'm sure Lowes has a comparable option, but I haven't looked.)

I would love to see photos of this. Sounds really neat!

What about hanging some fabric panels on either side of the headboard, perhaps something full and ball-gown in feeling, whether some faux silk or tulle, maybe with some pearls dotted on it. You could get some stock mould and add decorative appliques, to kind of pick up on the arched effect of the headboard itself.

I agree I would not have anything breakable or with push pins on the side of the bed. How about getting some wood letters (they have them at Michaels) to spell out her name and then paint them in either a deeper shade or the accent color and put them on her wall. I also like Les' suggestion of doing some sheer panels on the headboard. I bought some for my 6-year-old DDs room last year through JCP. See this butterfly swag below.

Here is a link that might be useful: Butterfly Swag