It's a bit difficult finding any good reference material or video tutorials on building a ventriloquist dummy out there on the intertubes. Fortunately, I found this website which has kindly written a complete how-to on building one on your own. The whole thing can be read online and it's free. Check it out.
I also wholeheartedly recommend Mr D's Daily Ventriloquist's Journal. It's a blog which is written by artist, ventriloquist performer, and often restorer all things related to the topic.
The cool thing about his blog is not only do you pick up a few tricks of the trade on puppetry and their occasional need for restoration, but you can honestly see how much the writer loves what he does. Well worth a visit.