What about making a box pillow and using piping or cording around the edges?
Loki's much smaller than a cocker, but I bought a box style floor pillow from BB&B when they had their college dorm stuff on sale last year. It's the squishiest, comfiest pillow
My mom helped me and we made a slipcover for it with some flannel fabric with bones all over it. It's time for a new slipcover, and I'm looking for ideas too. Loki doesn't care what it looks like, so I think next time it will match our bedroom :-)
Here, I googled this and found a picture similar to what I used. The one I used was thicker though. These are really pretty though.
http://www.bizrate.com/bedding/oid326388248.html