For the wig making, you have several options. You can buy the Japanese Beast wig, or the Rubies Cats Hood, or make your own out of rug yarn. The last, and least used method is to buy a yak hair wig. Its lack of popularity is probably due to the fact it costs upward of a hundred dollars. I got the Rubies Hood for my Misto costume. I've heard the Beast Wig is terrible to work with, and ugly, and though I haven't experienced it, I do know one thing - it costs more. The hood can be bought for $18 at ADA Dancewear under the name "Cats Kit".
When you get the hood, it doesn't look anything like a Cats wig. It comes with these rubber ears (part of the rubber 'bald cap' inside the hood), and the fur's all smoothed down. It's also literally a hood - it hangs down over your shoulders. To get it to look like a wig, you have to convert it. I used the "Marzi Method" - instructions are on her page: Marzi's Jellicle Litter. Once you've got the thing into wig shape, you have to style it. This can be frustrating, I'm warning you. Sometimes the fur isn't quite long enough to get the effect you're looking for. (And if you want a Tugger, or even a Bomby wig, don't even bother buying the hood, it won't be long enough.) When I was doing the ears, I kept wishing I could give it 'fur extensions' to get it to look right. But then again, I didn't have much time to work it over and over - I was working for a deadline, my costume party. Don't leave the wig for the last minute, folks, if you've got a specific event!
Here's how it turned out:
I didn't have a real 'wig head' when I was working on this, and no time or money to go out to get one. So, here's my temporary fix: blow up a balloon to the size of your head (or once the wig's done being sewn, blow one up to fit it), and tape the balloon down to cardboard. It works fine to hold it for styling it. It just won't last forever.
A slightly more permanent method is to blow up a ballon to the correct size (measure your head), tape it to an upside down paper cup, and coat it with paper mache.
I like this method, because it looks the most authentic. It is, however, very time consuming. You will need rug yarn (Aunt Lydia's is the preferred kind. You can buy it online here: Aunt Mary's yarns), a wig head, and a pair of control top pantyhose. You need to make a wig cap out of the hose (put it on your head and pinch off the excess, then sew it off). Then you sew rug yarn into it (double thread your needle, pull the yarn through the cap to the desired length, then cut it and tie the two sides together). Then you fray the yarn with a dog comb and style the wig. I know these instructions aren't that great, but that gives you an overview, anyway.
Here are a couple wigs I did with rug yarn:


For more information on making wigs, visit these sites:
Cat's Costuming Discussion Board