Purchase a large, rectangular corkboard. This will serve as the backing of your marquee. Your corkboard should be large enough to fit a movie title (or two if you're running double feature), the names of a few stars, and the show time. Many corkboards will include some sort of hanger on the back, allowing you to hang the marquee on your wall.
Place a large piece of white felt over your corkboard. Using your marker, trace the perimeter of the corkboard. Using your scissors, cut along the line you've made. Err on the side making the felt too large; you can trim any excess felt later. Use low profile thumbtacks to attach the white felt to the corkboard.
Acquire some letter stencils. These can typically be purchased at a hardware store or arts and crafts supply store. Choose a font that matches the lettering used on a real movie marquee, or whatever font you desire. The letters should large enough to be visible, but small enough to fit a long movie title on your marquee. You could purchase the stencils in a couple of different sizes -- one size for titles, and a smaller size for actors and show times.
Trace the stencils onto your black felt, and use scissors to cut out the letters. Remember, you'll need more than one of each letter. You'll probably want to cut several commonly used letters, such as vowels, while other letters (such as Zs and Xs) will only require a couple of copies.
Attach the black felt letters to the white felt corkboard. Felt sticks to felt naturally -- you won't need any adhesives, and you can easily peel the letters off of the marquee when you want to show a different movie.