The most common way of making one is braiding some yarn and sewing tufts of brushed out yarn o it, but I did it my own way I guess?

Anyway, start with crocheting a small tube. leave some extra yarn to sew the clip on at the end. The length of the tube will be the length of your finished tail. (I just made a short tube since this is an example)

Next, you're gonna wrap yarn around your hand and cut it down the middle. This yarn will be attached to the tail. (You're gonna need a lot more than I have shown. You can use more than one color if you want.

Then you attach the yarn to the tube in between the stitches. I uses a latch hook, but a crochet hook will work too.

After every few rows, brush out the yarn with a slicker brush. You can use a comb, but the results won't be as good.

Just continue attaching yarn and brushing it out until you reach the top of the tube. Sew on your clip to the top of the tail and you're done! (This is one of the tails I finished earlier today)