Research styles, and fabric from Houzz pics. When you find what you like, measure width and height you desire, and purchase 1/4 inch plywood accordingly. If you will be attaching to wall, add enough length so that bottom edge is covered by bedding. For mine, I used the lower part of my old headboard (with legs ) and bolted it to my plywood. Use jig saw to cut out your desired shape. I drew my curves with a dinner plate and made sure design is symmetrical. Cover plywood with batting, I like polyester best. Spraying plywood with spray adhesive helps hold batting in place while applying your fabric. Lay batting covered board facedown on fabric. Starting in middle of top, and then bottom, work out to each side, stapling, and pulling taunt. Cover back, if it will be showing. Add nail head tacks if you like.

Like a normal upholstered headboard, but with french cleats.

A rectangular one is easy. Have Home Depot or other cut plywood the size you want. Cover with batting from a fabric store. Use a staple gun to staple the little bit of excess to the back. Then cover with your fabric, pull it tight and staple the little excess of that in back (lots of staples). Attach a metal bracket to studs in the wall and the opposite bracket to the headboard back and just hook the headboard bracket over the wall bracket. I think the bracket is called a Z-bar bracket. You're done. It's easy and cost effective. Depending on your fabric, it can be beautiful!

Consider a nice heavy upholstery fabric and be patient with the corners, playing with a few options of folding the fabric over the corner before stapling.

I covered mine in muslin and made tight-fitting slipcovers.