Keep your memories together.
If your baby died early on in the pregnancy, you may not have seen him or her. But that doesn't mean that you don't have things to gather for a memorial box. Perhaps you saved the pregnancy test results, the card you gave your partner to announce the pregnancy, or a small gift someone already gave you for the baby. You can also collect photographs of you and your partner throughout those first weeks after you found out you were expecting.
If you don't have any of those things, you can still collect things that remind you of the precious time you shared with your baby: a poem about babies or motherhood, a calendar page from when you learned you were pregnant, or a collection of lullabies you were singing to your unborn baby.
For babies who die in late miscarriages or are stillborn, grieving parents often have collected lots of objects that can be gathered for a memory box. In my memorial box for Beatrice, I have photographs of her, the little dress she wore, a lock of her hair, handprints, our hospital bracelets, a certificate of birth, and a letter from my husband and I, written to our daughter.
Some parents decide to have their babies cremated and to keep the ashes with them. Don't let others tell you that this is macabre. If it's what feels right to you, accept your desire to keep the ashes instead of scattering or interring them.
Those who enjoy scrapbooking may do that in place of, or in conjunction with, a memory box. Natasha Hamilton, of Halifax, Nova Scotia, found it healing to create a scrapbook for Stephen Nicholas, her son who was stillborn at 43 weeks gestation in July 2002.
Keep a journal.
It's important to write about how you're feeling in the days, weeks, and months after losing your baby. Many people—even those who have never kept a journal before—who are coping with the death of a loved one find journaling to be a useful practice, both for tracing the curve of grief, as well as capturing memories and feelings about the person who died.
Davis dedicates an entire appendix in her book to journal writing, including how to get started on what she calls a "treasured keepsake."