These aren't burlap pillows :)

These are stitched on fabric, then finished as a pillow. You can do this by sewing the edges, much as you would when making any pillow, and sandwiching trim in the center, then turning, stuffing, and sewing the final edge.

You could also finish these by framing, making them into a wall hanging, stretching them on canvas, or any of the other myriad ways stitchers on this forum have done finishing work. They are lovely little Santas - good luck if you're stitching them!