I suggest having a look at this guide - How to build a pallet cubby by my colleague @MitchellMc. Once you've read the guide, this would be a good time for you to plan your cubby house. How big should it be? Does it have room for an adult to sit in? Will you be painting it? Where will it be located? These are some of the questions you'll need to take into consideration while planning your cubbyhouse.
There is also the option of purchasing a cubby house kit. Buying a kit of course takes away the option of a custom build. But, you'll still have the pleasure of assembling it yourself.