Except for joining the bias strips together, I made these pillows using just one presser foot: Bulky Overlock Foot #12. Designed for stitching sweater knits, it's also great for making and inserting covered cording.

First - Cut bias strips (about 1 1/2" for the narrow cord I used here), then wrap one end around the filler cord. Place under the presser foot so that the cord is under the "tunnel" part of the foot. Move the needle all the way to the right, and set the stitch length at 3 to 4mm. Stitch.

Second - Attach covered cord to the front of the pillow with the needle in the far right position, clipping the seam allowances at the corners. I don't pin it in place, just place it as I sew along the sides. Just before I get to a corner I stop and clip the seam allowances a few times to help the cord around the sharp curve. On these pillows I didn't do anything fancy where the ends met; just cross them over each other and stitched through them. With larger cord I'd unwrap and clip the filler cord to keep the join from being too bulky.

Third - Place the front to the back, right sides together, with the front on top. You'll be able to see the stitching lines from step 2. Move the needle all the way to the right, then back one step to the left; this will place your stitching just barely inside the previous seam, hiding those stitches. Stitch around the sides, leaving an opening in the middle of one side for inserting the pillow form. I always stitch at least an inch or two from the corners toward the opening; otherwise it's hard to get the corners to turn properly later.

Fourth - Turn the pillow cover right side out. Because you've inserted piping into the edges the corners "pop" right side out - no fiddling with point turners to get the corner turned right side out. Insert the pillow form, then stitch the opening closed. I do this by hand, as it's hard to stitch next to the bulky pillow. But, if you're careful, it's possible to use Zipper Foot #4 or Leather Roller Foot #55 to stitch the layers of fabric together just below the piping.