This fabric twist box is called a PJ Pocket Pillow made by modern twist.

You could also get smaller ones called three inch hide box also from modern twist. Unfortunately I think both are now unavailable as I would like at least one of each. I will put a throw rug on the couch in a bag for winter.

I found instructions to make a paper box of the same type. These instructions are from the British origami society.

I initial made my own pattern up and ended up with the above bag. It looks ok! But I will try again with the paper pattern which I think will be more successful.