When I first saw pictures of this game, I fell in love with this character.  When the game was finally launched in February of 2016 I was so excited until I found out that it was not supported on XBox (only xBox 1) nor on a MAC.  I was crushed.  I did however watch a number of playthroughs including Jacksepticeye's (here) and Cryaotic's (here).  I was still in love.  This game is beautiful and the character in it was just so loveable. I knew I had to make one.  On the website for Unravel (here) they do have a video but I thought it was really incomplete.  Here I've gone through the step by step and given alternate ways to make Yarny without having to find and purchase the Armature wire.
The role of wire on the left is a 20 gauge wire that I tried out. It was, in my opinion too thin. The tools on the right are an example of pliers and a wire cutter. At Walmart the pipe cleaners are called "Fuzzy Sticks" and are found in the craft section.
What you will need:

If making with pipe cleaners (fuzzy wire):

1 package of 12" pipecleaners (the 25 pack is enough) About 30 cm each
Red yarn
White yarn
paper clip

If making with wire:

Types of wire to use:
Armature wire*, can be purchased through Amazon or some craft stores 16 gauge (use the same lengths below to cut this wire)
Beading wire, 16 gauge (can be found in the jewelry section of the craft store) cut into sections
                     Head, Legs and Arms:  24 inches or 60 cm
                     2 Support wires: 12 inches or 30 cm 
Wire cutters
Pliers (needle nose are the easiest to work with)
Red yarn
White yarn
*A little side note:  I just checked with Home Depot, why I never thought of this, but they have the armature wire called "Hobby Wire" 50 feet for $3.48.  Where you live in the world, try the name Hobby wire.  It is made of Aluminum.  I also searched for Aluminum wire and found it a bunch of places.  Also just found it at Michaels, also called Hobby Wire but it sales for $4.99 same 50 foot (they told me they didn't have it, sigh)
Making the Yarny using the "Fuzzy Wire":

You will need:  13 fuzzy wires

For the legs, arms and head:  Take 3 wires and twist them together.  Easiest way is to gather them together and then pinch the together at the middle.  Then start twisting one end together.  When it meets at your pinched fingers, start at the other end

For the 2 support pieces, do the same but just use 2 strands.
To Shape the head:

Hold the wire in your hand and find the middle with your middle finger.  Bend the wire under your middle finger and then over your thumb and ring finger.  Bring the ends down into a heart shape.  Temporarily twist the two ends together to hold shape.
Shaping the head
You should end up with these 3 sections. To make the feet and hands, just bend back a small section of the wire until it touches itself.
Attaching the Arms to the legs:

Find the middle of the leg wire and the middle of the arm wire.  Center them and pinch with your fingers at that point.  Wrap the left arm wire around the leg wire.  Do the same with the right side.  Wrap until you think the arms are the right length for your Yarny.

Attaching the head:

Untwist the bottom of the head wire and wrap the ends around the leg/arm connection
Support wires:

For the body:  Wrap one end of the support wire around the leg wire near the top and start weaving it back and forth but wrap it around each leg wire.  This gives the body support so that it does not collapse when you are wrapping it.  Do not go more than 2 inches (5 cm)

For the head:  You want to use this wire to give the head shape.  Attach the wire again by wrapping a small bit around the head wire.  Make sure to bulb it out in back and the front.  Attach the wire by wrapping as you go.
Wrapping the yarn:  
                          I started about midway on one of the legs and wrapped down to the foot.  At the foot I straightened out the bent wire a bit so that I could wrap all the way to the end of the wire.  Fold the wire back and wrap the foot again and then wrap up to the body support.  This wrap up the leg is where you are adding the yarn to give shape and width, so go a bit crazy.  At the bottom of the support switch over to the other leg and do the same.  Then wrap the body.  At the neck work out to the arms and do the same with the hands.  The head is last and wrap it to give shape and hide the wire.  When you fill there is enough yarn work back down to the body.  Cut the yarn with about 12 inches (30 cm) hanging out.  Using the paperclip push the yarn back and forth a few times, weaving it into some of the underneath yarn.  If you can make a simple tie do so under the outer yarn.

                       Using the paperclip, use it to weave the eyes just under the ears and in a bit.
Making with wire:
                       Basic instructions are the same but you will be using the pliers to wrap the wire and to bend the feet and hands.  Use the pliers to wrap the wire around the other pieces such as the support wires for the body and the head.  Wrapping the yarn is the same .
I hope you enjoyed the instructions and found them helpful.  If you have any questions, leave a comment below.You can actually see how I did it on the included video.  If you like the video, please go to YouTube and give it a thumbs up and subscribe to my channel so that you can see other things that I will be doing. Hows that for  shameless plug.

If you have any questions, comments or suggestions please let me know!!

Thanks and remember, enjoy life.

It's the one you have.