I also thought it would be cool if we could use the valance that came with the bedding set, to make a pillow or two out of. Since I decided to go with different valances for his room that my sister was able to make for much cheaper, we didn't end up using the valance that came with the set. So my sister was able to get two small pillows out of the fabric and they turned out super cute. One I'm using in the glider, the other I'll probably put in his crib. Here are some pictures of the pillows.
This little pillow will sit in the glider.
Here's a picture of it in the glider.
And this is the little pillow I'll probably put in the crib. The valance was tabbed at the top, so she just used the tabs to go around the pillow! So cute!