Hat making can be a bit of a chore unless you have the time to really invest in it. Depending on your goal and level of skill as jrocker16 suggested you might wanna just buy a pre-made hat from a craft store and build it up from there. How ever If you fully wanna give this a go,
This craft site might have some info also I know Cosplay.com has a Lolita section and the members there are pretty darn helpful.
Either way good luck with them =^.^=