Like most self built pieces in our home we used trusty old MDF. The grommet idea came from a Martha Stewart Living issue years ago where they used the technique on folding screens. Here it allows a little bit of air to escape from the radiator should we ever turn it on. We never have that radiator on though because it would get to warm in bed (according to Martin).
Because the bedroom is so tiny, Martin can barely put down his size 11's on the floor beside the bed, we built the shelves to the sides and added the windowsill top. The actual head board part is simply another MDF board cut to size. We left a gap at the bottom, again in case we do need to turn the radiator on for some resaon. The gap would prevent some of the warm air to get trapped behind there.
This is the view of the board from the back where you can see the drilled holes for the grommets to be inserted into. We used grommets which are meant for sewing and simply skipped the back bit. If I remember correctly we put some glue in each hole and then stuck the grommets in there.
The board is simply propped against narrow battens which are screwed to the top and sides. The bed keeps the board from tipping forward.
There is also a cut out in the windowsill where air can circulate. But like I said the radiator is never on.
In hindsight we would have used double thickness for the MDF for the top, it would look more substantial that way.
Carol, and any others who may have wondered, I hope this helps and good luck!