Blow up an orange balloon and let the air back out. This helps it stretch when filling it. Using a funnel, fill with flour. Do not use expensive barley flour! Use the cheap white stuff. Use a blunt pencil or a chop stick to pack the flour down into the balloon.
When it is as full as you can get it without blowing it up, tie off the top. With a Sharpie, draw on a pumpkin face. When stress hits, start squeezing the pumpkin. Also good for mindless squeezing during a t.v. show.