Oh how I love making alligator clips, especially now that my child will allow them in her hair. I made the two shown above in about 15 minutes flat. It only took that long because I was distracted by trash TV in the background. Here is how I do it. First of all, I like to use a single-prong clip, which I order on Etsy, but double-prong works fine, too. And I like them to be partially lined, rather than fully lined, because I need the extra room to add in no-slip grip. Here's what I mean by partially-lined:
So gather up a few items: an alligator clip, some 3/8 inch grosgrain ribbon, Terrifically Tacky Tape (the red stuff) and some Fray Check to seal the ribbon ends (my preferred method). You can get the tape at Michael's, Hobby Lobby and Wal-Mart, that I know of. I like to go ahead and pre-cut the ribbon. Wrap it around the clip to determine how much you will need, and then cut it and seal the ends with a drop of Fray Check. Let it dry for a minute.
I cut two pieces of Terrifically Tacky Tape the length of the ribbon. Smooth the first piece down along the left side of the ribbon (see picture) and peel up the backing. Do the same with the second piece of tape along the right side of the ribbon.
Press one end of the ribbon down onto the back side of the clip, making sure to center it.
There: now you have a lined clip.
When making clips for fine baby/toddler hair, add something to make the clip "no slip." I use solid white shelf liner that I have only been able to find at The Container Store (fortunately the $5!!! roll will last literally forever). You could also use a little piece of velvet ribbon. I cut a little piece of shelf liner, back it with some Terrifically Tacky Tape and press it onto the ribbon-covered side of the clip.
Apply any embellishments you want with a hot glue gun, and you are finished. Some fun things I've used on clips are: buttons; scrapbooking button brads with the prongs removed; felt shapes; crochet flowers or embellishments; silk flowers, like the one above (it's center is made from a scrapbooking brad); beads; and combinations of these things. Have fun with it, and let me know if you have any questions!