Measure the length of the heating duct. Cut two 2-by-2 boards at that length. Screw those to the ceiling joists parallel to the duct. You may butt these up tight to the duct if you want to make the soffit as small as possible.
Measure from the bottom of the 2 by 2 to the bottom of the duct. Subtract 1 1/2 inches from this measurement. This will be the cut length of all the vertical boards that will make up this side of the soffit. The reason for subtracting 1 1/2 inches is the bottom horizontal 2 by 2 that you'll screw on later will make up this space, and the soffit will end up at the bottom of the duct.
Measure and mark out 16-inch centers on the board you screwed to the ceiling joists. Cut 2 by 2's at the measurement you calculated in Step 2. You'll want one for each mark. Screw these vertical boards to the top horizontal board on the marks.
Screw a 2 by 2 board across the bottom of all the vertical boards. Ensure they are level. You should now have something that looks like a ladder turned on its side along the face of the ductwork. Repeat these steps for the other side of the duct.
Measure and cut drywall for both sides of your soffit. Hang these pieces of drywall by screwing them to the studs in the soffit. Now measure the bottom of the soffit. Measure so that the bottom piece of drywall extends to the edge of the drywall on the sides.
Cut the drywall and screw to the bottom of the soffit. You should now have a completely enclosed heating duct. You are now ready to move on to drywall taping, and finally painting.