And now for the final stages.
I turned it inside out and pinned two of the sides together.
After sewing the pinned sides I turned it right side out. (Note to self: do not iron over red embroidery thread if you do not want red streaks on your fabric.)
I stuffed the open side with batting and polyfil.
Then pinned and sewed the opening closed.
Now it's a rather stylish (if I may say so) travel pillow.