Step 0: You'll need:
two cotton tank bras. I like the racerback style, but really anything will work. Matching the bra colors is optional. I find that the multi-packs from the various resellers work pretty well and give a reasonable return.
thread color to match the outer bra.
a sewing machine that's capable of doing a 'zig-zag' stitch. (that's pretty much all of them except the cheesy hand-held ones.)
Step 1: take two bras and put one inside the other.