There are multiple ways to make tails, and it really depends on what your character's tail looks like. Cassandra, for example, has a braided rope tail, while most of the others have fluffier tails. For a standard fluffy tail, you will probably want to put yarn onto a core rope. There are certainly many different ways to do this, but here are the two I've used:
1. The rug method. Get a braided (as opposed to twisted) core rope (easy to find at Walmart type stores - look for braided 1/4" nylon rope), and onto the loops of the cord, tie pieces of 8" yarn. You may wish to change the length of the yarn - this is just my standard. I used a crochet hook for this, pushing it through a loop of the rope, grabbing the folded yarn (fold it in the middle), pulling that through, and then pulling the 'tails' of the yarn through the loop I'd pulled through. I call this the rug method, since it's much the same as making a rug, just around a rope instead of across a mat. It may take some practice, but it goes reasonably quickly once you have the hang of it.
2. Sewing. Cut pieces of 8" yarn, and tie knots in the middle of bundles of about four to six pieces. Make sure the knots are tight, then with a yarn needle threaded with coordinating colored yarn, sew through the knots, sewing them to the rope. Work around the rope in a kind of spiral - bring the needle out slightly up and to the side of where you just sewed the last bundle of yarn. This is a bit quicker than the rug way.
A variation:
If you have a tougher/scruffier character, or you want a slightly different look, you can sew on strips of fabric with some yarn. This method goes very quickly, since one piece of fabric can cover what two or three bundles of yarn would. Just cut strips of fabric, between about a half inch and an inch wide, and close to the length of your yarn. Sew through the middle of the strip as if it was the knot on your yarn.
Two methods I have not used:
1. Braid three pieces of rope or three strips of cloth together, then tie yarn onto it (around the loops of the core.).
2. Tie yarn around the leg of a pair of pantyhose.
My time saving yarn cutting method:
Most people have probably figured this out already. :)
Cut a piece of cardboard or wood 8" long. (Make sure it's not too thick, or it will change your measurement.) Wrap the yarn around the template lots of times (one layer), then cut on both ends. (You may wish to tape it down before cutting it to keep the measure accurate.)
Here are a few pics of some tails that I've made:
This one is Alonzo, it was made with yarn bundles and fabric strips sewn onto a rope.
This one's Misto, I did this one with the rug method.
These were both done with yarn bundles. One is Munk, the other is from my Halloween costume.
When working with nylon rope: burn the ends of the rope before you begin your tail to melt it together and keep it from fraying and falling apart.
To attach your tail to a belt, you can do a couple of things. You can fold over the end of your rope and sew it down to make a loop to put a belt through, or you can sew a few long lengths of yarn right through the top of your rope, and braid them together on either side. If you do sew a loop in the top, you can leave it uncovered, or you can cover it by either wrapping yarn around the rope, or sewing a few more bundles of yarn onto it/rugging a few more pieces of yarn onto it.