Family Education has instructions for a quick & easy horse costume to make:
Time: 1 hour
Effort: Fairly easy – some sewing required
Materials:
Matching color shirt and pants Matching color knit hat Yarn Needle with eye large enough for yarn Black socks and shoes Black gloves (optional) Face paint (optional) Instructions: Sew yarn through hat to create mane, leaving ends 5 inches long. Tie ends together to secure. Make yarn tail desired length. Attach tail from inside of pants with safety pin (being careful about placement of pin so that it won’t stick the child). Paint face with white markings.
As for your critter, Equinarts has some great tips; they’re the people behind the fabulous Pegasus costume in the last post.
Bridlepath 
Say your bit