I've made a tail before. Here's a pic.
http://i10.photobucket.com/albums/a113/snowychan05/tail.jpg(I didn't take the picture I cropped this from, but it's *of* me, so...)
It should work for Kyuubi since its tails are fairly long and thin.
All it takes is a feather boa or two and some wire, plus it's fairly light. You'll also need a safety pin or something to attach it to whatever you plan on attaching it to. Oh, and pliers (and wirecutters, if the wire's too thick for scissors).
I made mine about 3 or 4 years ago and I don't have it handy, so my directions might be a little off.
Take a length of wire that's just a bit longer than you want the tail to be, by maybe an inch or so. Fold however many boas you plan on using on the tail in half and wrap the end of the wire around the fold. That'll be the tip of the tail. You could probably use hair spray to point the tip like a fox's (mine was blunt-tipped, since it's a cat's tail). Then wrap the boas around the wire to the butt-end. Secure that end somehow, attach the safety pin, and you've created a tail!