I had seen a post on Free Peoples' blog a long time ago and have been wanting to put something like this together since the dawn of time. I gathered up some feathers and dried flowers I had from different occasions to put in the eye sockets, and the color on the antlers is just embroidery thread.
When you're wrapping the thread it's best to start by wrapping it once around then making a knot in the back, leaving a large amount of the end of the thread sticking out, and not making any cuts yet. Continue to wrap the antler and when you're finished, cut it and tie it to the thread sticking out from where you made the first knot, so that each color is one continuous portion of thread. Basically you just want the knots to be in the back. I hope that makes sense!