Start with a shabby frame, Scissors, patterned paper that coordinates with the paper dolls you wish to use or the room you are using it in, scrap paper, pen ,glue, and paper dolls.
You can Google 'Vintage Paper Dolls' or 'Free Printable Vintage Paper Dolls' like I did or... you can use some of the sites I have found.
Take the paper that comes in the frame out and place it on the patterned paper.
Take the pen and trace it on all four sides.
Cut it out.
Take the printed out paper dolls and cut them out as well.
Once you have cut the dolls out play with the placement , until you have it the way you want it.
Take the scrap paper.
and cut out a strip of paper and cut into thirds and add glue to one end
Then roll into a circle add glue to one side
glue to the back of the doll pieces , then add glue to the other side and place on the patterned paper.
This will add some depth ,especially since I didn't use a shadow box.
http://www.thepolkadotcloset.com/item_277/Paper-Doll-Annie.htm(here is an example)
You can add embellishments like glitter glue, ribbon, buttons, lace or paper doilies. But here is the finished project.