I won't go through the tutorial since Newlyweds Next Door already provided a great one (<-- click that to see it) that I followed (Thanks K!).
Just wanted to share my creation. I love it for this wall.
I didn't have to buy anything but the glue sticks for the hot glue gun. The frame is from our wedding reception (I painted it gold for that - which I blogged about here):
The corks were mostly collected by me over several years... my mom also gave me about a dozen to complete the board.