Grab a sheet of black craft-felt and cut a rectangle about two-inches wide and long enough to cover the leg - rolling it around the leg as shown.
Sheets of felt can be joined / tacked together with a few vigorous pokes.
Thicker legs are easy, just increase the number of wraps around the pipe cleaner. When you are satisfied, go over the seam until it disappears.
Craft felt sheets are pretty rough... you can add a thin layer of roving / fiber on top to finish the job.
Fill gaps between the leg and the body for maximum strength and cuteness.
