Sorry in advance if this doesn't make any sense, I've never been good at explaining stuff ^^;
So, first thing I did was make a practise version out of scrap material. I got to figure out the positioning of his feet, horns, tail and wings.
I used really rough stitching to make sure I could add the swirly in his tail, but I didn't bother making a second wing or horn X3 Word of advice from me, tho'; take it apart afterwards if you don't wanna get the leg positioning wrong ^^;;; I did that, and what's why his feet are so close together. Or just take into account the sewing edges if you don't take the stitching out :3 I gotta remember that for next time.
So, here's a pic of all the pieces (except for the cross, I didn't cut that out 'til the end)
The tail kinda looks like an elephant head without the ears XD
So, first thing is the main body. Here's a great site for sphere patterns ranging from 3 to 10 parts. As for figuring out where to put the horn, feet and wing holes, you'll have to use your best judgement. If you make a practise version, it's easier to do without lots of mistakes (tho' I still made some, naturally XP). I sewed up the left sides and the right sides, making sure the horn and wing holes where in the right places. I left the back of the body 'til last so I could add adjust the pipecleaners in the wings and tail and add stuffing.
I use 3 types of stitches; back stitch is my main one, for sewing all the pieces together, ladder stitch for closing stuffing holes and allowing for wider holes to turn parts inside out like the wing and tail and tacking stitch for attatching the thin part of the tail to the body and the end tail part, along with attaching the horns, feet and wings to the main body.
I made the patterns in PhotoShop and printed them off. I cut them out and traced around them with a margain so I had room to stitch it.
Here are the basic shapes I used for the horns and feet. They were hard to turn inside out 'cause of the felt. Attaching them's kinda hard, 'cause you've gotta pin them to the body to start sewing them, and since they're so small it can be a real pain. I kept getting mine in the wrong position and had to start from scratch attaching them a couple of times.
The wings were the hardest part for me, 'cause as you can see from the photo of the original cut out pieces, I made the bumps too small. So I had to start one wing from stratch and I managed to save the other. For the pipecleaners in the wing, I moved it to the top and pinned it in place, then backstitched it. Attaching the wings to the body's one of the most tedious things ever, but it's done the same way as the legs and horns X_x
I didn't sew on the cross the way you should do, but if you don't mind a teeny loose border at the edge (it doesn't look too bad at all), then just backstitch it after you've sewn the left and right side together at the front.
I can't give anyone much help for turning the tail inside out. It ended up being an overly complicated two person job X_x To put it simply, I got some extra thick cotton, an usually large and blunt plastic needle and me and my mum pulled it through.
That's all I can think of for now, if anyone's got any questions just ask and I'll do my best to answer :3 If you try it yourself, good luck! ^.^
And just for lolz, here's a pic of me with him on my head (I look really bad in it) X3
I really love him to bits <3