We call it the "squeeze your worries away" ball and first made it when my daughter was nervous about her preschool Christmas performance. We made it together and talked about her feelings. Then we placed it in her itty-bitty pocket to squeeze away her worries during the performance. Maybe this ball didn't actually squeeze away her worries, but it opened a door for her to talk about it, which made us all feel better.
For this ball, we used cornstarch. I've heard of people using sand and flour too. I have yet to explore these ways of making a stress ball, but I am sure I will have ample opportunities in the future.
We learned that the cornstarch needed some guidance down the funnel; a wooden skewer worked perfect for this.
After you get the balloon nice and full, it's time to tie off the balloon. (Proceed with caution, lest you get cornstarch on your shirt!)