I made stockings out of short fur, but I don't have any pictures of it (I was working an event in it, and don't know if anyone has shots). But they had cloth soles, with a fur foot-top. The fur was fitted to my calves as much as possible but the thighs had extra material and some padding in the front to simulate goat legs like in the video. They were held up with ribbon garters tied around my waist. I just wore a pair of slightly large black dress shoes over them, since she has feet and not real hooves in my screenshots.
Most people that I've seen pictures of use some sort of white stockings, and some seem to wrap their legs to make them look more artificial.
I'm only a little crazy. Really.