When I was a kid, my buddies and I played camping with our American Girl dolls ALL THE STINKING TIME. I would have murdered for a good set of these. Alternative use: sleepovers.
Cloth -- Get thee a good half yard of whatever fleece the cloth store
Sewing Supplies -- Needle, thread, scissors.
Making sleeping bags isn't the most exact thing in the world, since you're not specifically trying to get something to fit and look good. If you mess up? Your doll has extra foot room. It's not even close to a thing. Unless you make it too small and your doll can't fit in ... that WOULD be a thing. As is, let's aim for cutting out two rectangles somewhere in the ball park of 18 inches long and 20 inches wide. Esque. If you wanted to take the corner of your cloth and bring it up to the opposite edge, thereby making a square all origami style, you could do that too. Just get yourself two rectangles.
Your fleece should have a right side and a wrong side, and damnit if it's been going to church it should know the difference. With right sides facing in, sew up one of the short sides. Turn. Press if you're feeling saucy. That seam is now the top of your bag.
This step is likely optional, but man sakes alive, complete it and you'll have the coolest sleeping bags. All your friends are going to be jealous, I promise. Measure down the sides and divide them into about four or five different sections. Mark both sides. Now, use those marks to sew four or five good long lines along your bag.
Now, fold your bag in half like a hot dog (the lines should still be horizontal and the two ends of the top seam should touch). Sew up the bottom edge and the side edge, then turn inside out. Put your doll inside and you're done.