Step 1: 
Take an empty ceramic (not plastic)  pot. Do not use a closed pot, the hole at the bottom is the entrance for the bumblebees. Place some soft moss in the pot.

Step 2: 
Next, some hay or straw.

Step 3: 
Choose a warm sheltered spot, such as the base of a hedge. Remove a little soil, enough to half-bury the pot. Turn the pot upside down in the hole and push back the soil around it.
The opening of the pot faces upwards and becomes the entrance for the bumblebees. Place about 3 inches of soil over the edge and press it down a bit, so there is no draft to the bumblebee nests.