There are several ways this can be done depending on your time and budget. I'm going to give you one, and you can tell me what you think.
The easiest way is to purchase foam (dense enough to hold it's shape under weight), and then carve it into the shape you want using scissors and a knife. Then, cover the foam in nylons to protect it from tearing. You can then start covering the tail in liquid latex until you've built up a "skin" thick enough to give it structural support.
After that, it's a matter of detailing it with bumps and such (using balled up bits of latex you cover with more latex), and then painting it.
If you would like to have the tail keep a certain shape, you can use a metal clothes hanger bent into the shape you want, then glue the foam to it prior to putting on the latex.
This method while the cheapest, can be a tad difficult in terms of making it look consistent. You will undoubtably have various thicknesses in your latex, you can't get a lot of detail (pores, wrinkles, etc), and the foam can be a bit difficult to cut smoothly (and can be hard to find).
The advantages to this technique is that because you're using foam and latex, you can get a fairly light tail, that has the appearance of skin, that is still somewhat flexible.
As I mentioned there are various ways to pull this off, but anything beyond this will require some serious time and money. Let me know what you think of this idea. If you want to try something a little more realistic, I can give you some other ideas.
Let me know if you have any questions.