Start by stuffing a plastic grocery bag with fabric scraps (when I ran out of scraps I used entire pieces of fabric and old t-shirts). When it's the shape you want, set in the center of the outer fabric and pull all sides up around it. Fasten the top with a rubber band or twist tie.
To get the indentation shape desired, I used a jute string and wrapped it from the center bottom up to the top, over and back down to the bottom several times spacing the string out for each pumpkin section.
Finally, I made paper leaves, Curling the edges, then attach a junk bow out of twine, jute, burlap, raffia and ribbon. I always add a bit of sparkle ribbon, and the orange fabric pictured actually has tiny orange sequins all over it. The purple fabric shimmers and has a moon design. If I had a better camera you could see that. I'm working on getting a new one soon. ("Oh hubby, darling, it's my birthday next month")
Elegant for table decor, and the squirrels won't eat them.