You could try crafts foam, but if you want something more durable and in turn, looks much more nicer, try this method.
Take some foam, often found at Jo Ann's or Wal-Mart, and shape it into Umbreon's ears. Yes, his ear does seem like a cone, but that idea will end up just looking like Pikachu. Instead, carve it to look like this:
After carving out the ear out of foam, (you can just use scissors for that), now its time for some fabricating. You can use a very short fur, but fleece can look just as well, since Pokemon usually do not look 'furry' looking. If you have a hard time getting a right pattern for it, (its actually an easy pattern but everybody can have some troubles time to time), ductape the ear, draw on the markings, in this case, the ring, and cut that the ductape in half. Then cut out the ring. There, instant pattern! Just transfer that to the fabric.
The tail is actually very simple. Again, it will probably look like the sketch I posted earlier. Just sandwich two pieces of fabric, including the ring, sew and stuff.