I think ping pong balls should be available at most sporting goods stores. As far as the body goes, the no-legs version just had a tube coming off the end of the "football" shape:
( ) (pardon the poor ASCII art, but this should give
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you an idea. The 'legs' version just attatches the legs in front of the tube. When you perform the puppet, the tube should be relatively invisible.
Hope this helps!