Ok, first this will involve paper mâché. So it can get a little messy.
You will need.
Water and flour and salt and newspaper (for the paper mache).
Pillow batting (you can find at any craft store).
Blow up some balloons to the sizes you want and duct tape them together. Make the balloons different sizes, so that you the shape will be not completely perfect when you tape them together. Clouds never look perfect.
After you have the balloons taped together, make the paper mache mix. Dip the newspaper strips in the mache and cover the balloons. You don't need to cover the bottom, because that is where you will put your head.
After the mache dries its time to use the spray glue. Spray parts at a time then stick the batting to it. Spray glue works really well. So you don't really need a lot of it.
After you cover the entire shape with batting, pop a couple balloons underneath to make room to put it on your head.
And that's it.