CraftyDeb, you are frikkin' AWESOME.
It had never occured to me to knit the stupid thing!
I worked it up last night and stuffed it, and it's light, and adorable, and sturdy. THANK YOU. I got even got a picture, which is fuzzy and tiny but it conveys the general idea:

The only problem is, even with four strings, it doesn't stay on very well.
Exeter Flud, I tried elastic with the paper horn, but it didn't work out. It made the dog go nuts trying to get the horn off. Maybe it pinched him.
I'm thinking maybe some clippies underneath...?

Okay, all you brilliant costumers, please give me a hand.
I think I'm going to dress my miniature poodle up as Unico for Halloween.
http://i22.photobucket.com/albums/b317/LongElegantLegs/Unico.jpg
This is Unico, for those of you who are going "Huh?"


And this is Tango. He's less poofy in the body and shorter in the ears now, though. And the blue is gone.
 Dying his head and feet are no problem, as I do that alot anyway. I had planned to make a horn out of silver paper and just tie it on his head, but it's not sturdy enough; It flops around and then he pulls it off.
My husband suggested stapling it, but I think he's watched Scrooged one too many times. 
I also thought about making a polymer clay horn, but I'm afraid it would be too heavy and I would still have problems getting it to stay.

Any thoughts or previous experience with something like this would be greatly appreciated!

Well, here's a crappy little scan of my Night Elf thingy.

It's not finished, I'm still not sure how to do the face. Maybe just a couple of shiny white buttons for the eyes. I'm also having problems with his clothes; I wanted something more armor-ish, but I'm at a loss how to do it with felt. He's got button-jointed arms that move. You can't really see the obscene amount of hair he has in the back, but it took me awhile to get the head to not flop over from the weight of it.
He's also got a Fimo sword with a little green jewel in the pommel that I forgot to scan.
If anyone can give me some tips on the face and ideas for better clothes, I'd be grateful.