In your Cuttlebug, or any other die cutting/embossing machine, there are two ways of making a border - embossing and die cutting.
You can achieve an embossed border on your artwork with a large or small embossing folder, or a border embossing folder.
Folders are available from many stockists and the main manufacturers are:
Provocraft - Cuttlebug
Crafty Concept 4.25" x 5.75"
Docraft - Textured Fades Embossing Folders emboss select areas appear perfectly faded and distressed.
NB: I have not tried Crafty Concept or Docraft folders - but told they work
How to use border folders successfully: try this link it will answer all your questions.
If you do not have any border folders, you can still create a border by using a large or small embossing folder and then complete the pattern by scoring a line(s) on your scoreboard.
either top and bottom or centre! Link for the centre panel
Spellbinders border dies that match their Pendant Dies are called Borderabilities. There are also border dies called Pierceabilities. Both types are sold in packs of 2. One makes a border by cutting on both sides, the other only cuts on one side so it can be used for cutting a fancy edge, or an extended border. The borders can also be embossed using a tan mat. You will find the sandwich for this in the "Glossary".
This is a "Spades Borderabilitie" double edged die - cut once
on this card I cut the die twice, embossed both, then interchanged the cut out bits - this link will take you to the full tutorial
Using the die for layering