Some French cosplayers have a specialty of this kind of things... so I've seen quite a few.
First thing : fluffy costumes are not cheap. You need to buy lots of synthetic fur, and quite a lot of medium to high density foam too.
Second thing : it's very long to do this kind of costume, especially if you want a good finish.
For example, I'll mention this Rita (from the Animaniacs cartoon) a friend of mine did recently :
The head alone took something like 3 days nonstop (without sleeping... yes this guy IS crazy).
His method : he buys a cube of high density foam, and sculpts the head in it, then carves the head for his to fit in, plus a space to put a pair of small fans (the kind you have in your computer) with a 9V battery so he can breathe and not be too hot inside. The ears are also cut in foam, and he adds some wire to help it stay in place.
Then he covers it with synthetic fur, pasted with hot glue. He's very careful of the way of the synthetic hair, and cuts the borders very precisely so he does not cut the hair. In that way you can't see the joint between the different pieces of fur, even when you're very close.
The details (the eyes, nose, and inside of ears) are lightweight felt.
The feet are done about the same way, except it's a lot simpler.
The body suit is about the easiest - you can't sew synthetic fur with a machine, right, but you don't need to make perfect seams : they're hidden by the hair.