I can tell you how I made my boyfriend's tail last Halloween. It was quite easy (didn't take me much time to do at all). It turned out really cute and was sproingy when he walked =^^=
First I sewed a long tube out of faux fur, as long and as thick as I thought was appropriate, and turned it inside out. Then I stuffed it with polyfill and snaked a long piece of wire--came on a big roll from the hardware department at Wal-mart--inside it (almost to the end of the tail, so that I could curve it to make it look more realistic, kinda like Tenebrae's =^^=).
Then was the tricky part. I had a 2 inch tube of fabric I'd sewed together for a belt to hold the tail on, but I couldn't get it to stay up. So, what I did was made the wire extra long, and made kind of a U or half circle shape out of wire that was poking out of the tail (about 15 or so inches per side), so that I could snake the pieces on the inside of the belt. I did this by making a hole in the back of the belt, where the tail would be attached. then I snaked one piece of the wire attached to the tail on the left side, and one on the right side, and sewed the hole shut around the wire. That way once the belt was on, the wires inside the belt would naturally wrap around the waist and hold the tail up better.
I hope that makes some sense...=>.>= I wish I had a better way to describe it (or pictures).