Thoughts on how they built this?

My guess: a flywheel inside the ball to keep it stabilized, along with a motor and series of magnets to move the "head" around.

Sure, but how exactly? If I hadn't seen the video I would have guessed a practical prop impossible.

Mashable has an article about it, but they too have some hand-wavy-magnet explanation.

http://mashable.com/2015/04/16/star-wars-bb8-technology/

Too bad there is no discussion on hn or reddit about the workings.