I did this matrioshka with 6 dolls with the embellisher.
I felted all the pieces out of wool roving. This is one of the things you don't want to do with this machine... I broke about 7 needles and I ought to have done it with the traditional felting method, I mean wet! It was a good experience though...
The felt is quite stable. For the biggest doll (15") -the smallest is 2"- I used a piece of Thermolan as a base (which did the whole thing even thicker and caused the needle breakage, but this was because I also used many layers of wool...).
I'm happy with the end result. They can stand (if no wind) and children love them (I won't let them play with them though....)