There's a number of things to consider, and they all depend on what your needs are.
Man made or natural? Man made materials are generally lighter in weight, but are also more likely to melt from sparks. Cotton canvas is heavier (especially after heavy rain) but won't get spark damage.
When I made one for myself and one for Rancid Badger, I used a heavyweight tent canvas. The cotton canvas was 1 metre wide, so for mine (3x3) I cut three lengths of three metres. For Rancid Badger's (4x4) I cut four lengths of four metres.
To sew them so the seams won't come apart, I first placed two pieces together and sewed with a straight stitch 1" in from the selvage edge. Then I laid the two pieces out flat, tucked the seam under by half an inch and sewed the seam down along the turned edge.
I repeated that operation for all the other pieces so I had a large section of canvas made up from 1 metre strips.
I then hemmed all round the four sides.
I then cut a few long lengths of scrap canvas 3" wide, folded in half lengthways, then tucked the edges into the fold and sewed down the length twice. That gave me a strip of canvas with 4 layers. These would become my tying points.
I cut these strips into 8" lengths so I had 12 lengths (for the 3x3) and 16 lengths (for the 4x4). These lengths were folded in half so that 4" were for the loop with two x 2" for the sewing down part.
I positioned them on the canvas and sewed them in place with a single pass. I then went over each of them with a zig-zag stitch much like you find on car seat belts, so they wouldn't rip off under stress.
I hid where they were sewn on by stitching a small triangle of scrap canvas over them, but that is purely decorative and serves no functional purpose.
I could have used brass grommets, but having tried that before, and having had them rip out in strong winds, I opted for the more labour intensive, but also more secure canvas loops.
The thread I used was white bonded polyester. Unless You have an industrial machine, that's probably all a domestic sewing machine can handle. However, bonded polyester thread is plenty strong.
Make your stitches fairly wide (about an eighth of an inch) and check your tension regularly and the seams should hold well.
The only other thing I would add is to make sure you have masses of room all around the machine. When you are sewing the lengths together you will need the entire thing laid out flat and you'll need to roll one of the pieces length ways so it will pass through the arm of the machine, so it will need loads of space in front and also behind the machine. The garden is a good place to work on a dry day. Also don't let the stitching foot do all the work. You will need to feed the material through by hand because of the weight.
Good luck with it, have fun and show us pictures when you have done it.
Eric