The first step was to cut some cleat stock out of some scrap lumber, and glue/screw it to the surfaces surrounding the ductwork, to provide a foundation.
Next, making templates out of cardboard saves lumber, and allows you to change your mind about the design at zero material cost.
Once I settled on a design, I used the templates to mark up the plywood, cut it out with a saber saw. Because everything is made to fit, it fits perfectly (OK, I was surprised too).
After all the pieces were cut, I glued on more cleat stock in the appropriate places, and then assembled the whole thing.
A little sanding, a couple of coats of paint, and it looks like a factory install (almost).