I've never tried to make one but I have thought about how one would be made. Based on your materials mentioned I would think you could make one by shaping the foam(or another suitable material) into spinal segments and slide them onto the wire. That's if your going for a realistically bendable tail though. Also depending on the size/length of tail your looking to make, this method/idea may or my not be viable.
I'll keep an eye out for any tutorials and resources.