Step 1: What You Need
Two contrasting fabrics for the top and bottom of the legs. Joann's had a fleece fabric with circular indentations that was perfect for the bottom (not pictured here, this is just normal fleece as I documented this after the fact). For the top, we all used different fabrics. I had some watery batik laying around, and used that.
Feather fascinator/hair clip - I got this at a costume shop near me, and can't seem to find them online. This is close, though.
Large white pom poms
Small black pom poms
Step 2: Cut Fabric
I would recommend around 18" to 24" long, depending on the look you are going for. Shorter will just curl up at the ends, longer you can start to get some curly-cue action going. They are around 5" to 6" wide at the end. You will end up losing any point at the top narrower than half an inch when sewing, so keep the end rounded. I also found that the legs looked best when the bottom piece was narrower than the top, as shown.
Step 3: Make the Legs
Once your elastic is attached, it's time to attach the bottom piece to the top. Lay your bottom piece on your top piece, with the elastic facing down, as shown. Start sewing a little, then stretch out your top piece to align and sew the edges on either side.
With that, voila, your leg is sewn! Turn it right side out, and stuff.
A note about stuffing: if you are making really long, thin legs, use very small pieces of stuffing to start and push them down with a chopstick or something similar. I ran into trouble trying to stuff large pieces in at first, and it sped things up dramatically by just changing my stuffing method.
Now just do that 8 times, and you're done with the hard part!
Step 4: Attach Legs Together
To make the waistband, cut a 2" strip of your face fabric the size of your hips (or widest point to get this on), lay it down with the edge aligned to the closed tops of the legs. Pin your legs evenly along the length of fabric, and sew.
Sew the strip of fabric to itself, to form a circular waistband.
Then fold the strip around to the other side, fold under the edge, and sew again, leaving an opening to thread through elastic at the end. Thread through elastic (you can use a safety pin to make this easy), sew the elastic together, and close up the gap.
This was actually a little more tedious than I expected, but it worked out great. A slightly easier method would be to sew all the legs down to a ribbon and tie them on. Lots of options here depending on what time you want to spend.
Step 5: Make the Hairpiece
If you are having a hard time finding a feather hairclip, you may need to get creative and make the feather clip itself. This would be pretty easy - buy some feathers, glue them to a circular piece of stiff canvas, and glue a clip to the other end.