Brown, yellow, red, green (two shades), white.
Embroidery floss in the same shades as the felt. I machine sewed the white part on. It makes it even quicker. But certainly if you hand sewed it on then you should have white floss as well.
And of course, your big bad needle that penetrates felt easily. Some needles do this better than others, so try a couple.
Click here to the Purl Bee's pattern and pictures.