Well... Now that's a long story!
1st. You design it (Simple enough)
2nd. Wrap some foam around your head/body for measurements
3rd. Make some eye holes (On the headpiece)
4th. Use more foam to make parts such as (Eye brows, Ears, Cheeks)
5th. By some fur and glue/sew it on
6th. Glue on some other pieces such as (Eyes, Nose)
NOW FOR THE PAWS
1st. Similar to before, Wrap some foam around your hand/foot and fingers
(1/2nd. OR you could buy a normal glove and glue/sew some fur on it)
2nd. Put fur on it
NOW FOR THE TAIL
1st. Wrap a bunch of fur and stick it to your butt (Kinda obvious, isn't it?)