How do I make cornices?

Are you asking about wood "boxes" four sided for over the top of your windows? For a handy person these would be relatively easy. You need a board for the top, one for the front, and two for the sides. The cornice could be supported by simple angle irons.

YOu can make a four-sided box using 1x4 or 1x6 lumber . Make it deep enough so that it will clear any drapery hardware. Then paint/stain it or cover it with some poly and fabric. Attach it to the wall using L brackets hidden on the inside. It will be easier if you can install it in the header over the window and not require wall mollys. If it's very wide you might need a few across the middle to keep it from bowing.

Here are all kinds of cornice tutorials for you: https://www.hometalk.com/search/posts?filter=cornices

Purchase a foam insulation board (4 x 8) from Home Depot. Have them cut it lengthwise to the size you need. I use 13”. Then using toothpicks to anchor, pick them together. 1 front, 1 top, 2 sides. Use duct tape to seal them together. Cover with batting and fabric or just fabric, your choice. Hang with angle irons. Install the angle irons on your wall, slip the cornice board over the irons and put small finishing nail thru the holes of the angle irons up into the cornice board. This way they will not slip off.