I use a Cuttlebug and I love it. Plus, you can use Sizzix dies in the Cuttlebug machine. If you have trouble with the die going through the felt, add a piece of cardstock or other thick paper on top of it when you use the machine. It REALLY helps!
There's a lot of information in other threads. Click on search and try "felt" or "cuttlebug." That's where I learned a TON about making them.