They used a nail gun to nail the 3" wide boards on the studs which were 16" apart. Then they nailed the 4" wide boards on top to cap it off. Cody then painted the walls and boards with our baseboard color. (It is a custom color so I have no idea what it is.)
By the way, the 3" and 4" sizes were just a personal preference. I've seen wider and smaller widths. Also, you could cap it off with the same size as the slats. Just go with whatever you like visually.
You can see in the picture above that the plywood is very smooth and easily paintable.
Since the plywood is 1/2" thick, it hangs over our baseboards by a smidge. I took this picture at an angle so you could see, but in real life it is not noticeable at all. I saw on a few blogs where they trimmed the edges at a 45 degree angle so they wouldn't hang over so you could always do that.
I am so happy with how this turned out and really want to do it in my dining room now. :) Especially now that I know we could probably do the three walls for less than $100. That is big impact for little money! It made our small nursery look bigger and brighter so I know it would really make our dining room stand out.
I'm sure I've left out some details (I'm rushing because Elmo is almost over!) so if you have any questions, ask them in the comments and I will answer you IN the comments. That way everyone can see the answers. Happy weekend!!