A and I made her first colors book over the past week. You can download a copy of your own here, courtesy of Confessions of a Homeschooler. If you haven't ever visited her blog, it's a terrific resource!
I printed the pages out and cut out the pictures. We worked on one color at a time. I would put glue on the back of the picture and A would put it where she wanted. When we were done with all of the colors, we went back and I had her put stickers on the pages. It took a few different times of us sitting down to do it, but A was really excited when she saw that she had a book of her own that she made.