First, check out my Mouse Taxidermy
Instructable. It covers all of the basic skills and tools you'll need to prepare your mice.
This Instructable will provide the extra steps necessary to create conjoined mice.
If you're ethically opposed to the concept of creative and/or decorative taxidermy (and have chosen to look anyway) I have two questions for you: do you wear leather, and do you eat meat? If you answered yes to either, can you/would you kill and prepare the animals necessary to procure this meat and leather? Willfully ignoring the source of your food and clothing hypocritically outsources the ethical questions and is ultimately disrespectful to the animals involved. If you're an ethical vegan and eschew leather, I respect your opinion and your desire to avoid viewing discomfiting images. Thus I carefully label the Intro page of these Instructables, hide the more graphic pictures on the later pages, and promise not to send you any taxidermy for Christmas.
Now, back to our regularly scheduled Instructable.