Here's how to make the cord:
For a thin cord -- pull strips of roving about 1/2 inch wide X the length of roving you are working with (doesn't matter how long it is). Overlap the pieces to get a cord length of about 30 to 40% longer than the final length you desire. Make sure the wool is as uniform in size down the length of the cord as you can get it. Add extra wool if the wool is thin in places.
I like to needle felt my roving pieces together to start. You can also dry felt the pieces together by rolling them in your hands. I added a bit of silk hankie to mine and needle felted it in. I rolled the piece between my palms up and down the cord.
Begin to wet felt by adding hot soapy water to the wool. Roll the cord with the palm of your hand against the bamboo or bubble wrap you use to wet felt. Roll up and down the length of the piece. When the cord begins to have some form, take it to your hot water source and get it very hot and throw it against a hard surface. Throw about 20 times. The cord will get uneven, but take it back to the mat and roll it again to smooth it out. It will take about 3 passes of throwing and rolling to get the cord firm enough to be a purse strap. Tug on the strap to make sure it is firm before you decide you are finished!