Spoiler warning: Quest and/or game spoiling details follow.
To Make a Jester Doll
You need all six parts to be able to change them in for a Jester Doll. Kill Undead Jesters during raids. They may drop the parts you need:
(player): Jester Doll
Hoaxette: Oh! <giggles> Have you found all six parts of a jester doll and would like to assemble them?
: Goodie! Here you are! <giggles>
Spoiler ends here.