I am in the process of making some really cute baby shower favors for a shower I'm throwing in a couple weeks. I got the idea from http://www.creative-baby-shower-ideas.com/ and highly recommend the site if you ever throw a shower for someone. The specific link with step by step instructions is here: www.creative-baby-shower-ideas/nut-cups.html .
You basically fold the napkin in half, then bring two corners to overlap a bit. Bring the third corner up and safety pin them together...
Then fill them up with the candy of your choice. I chose to use York Peppermint Pattie pieces (they are delicious, but I personally love the Almond Joy pieces the most...the color of the peppermint ones worked the best). The website suggests whoppers, but I personally didn't want to put anything in there that resembled a messy diaper.