I use a sport weight wool. A nice one that is inexpensive is Lion Brand Yarn Fisherman Wool. It comes in an 8 oz skein and I found it for about $10.00. I only found this in two colors - natural white and brown. An 8 ounce skein will make an awful lot of squirrels!
Cast on 18 sts, size 2 or 3 needles.
Work in garter st (knit every row) for approximately 20 rows.
Sew each corner together for legs. Stuff with wool fleece and sew up tummy.
Cast on 12 sts
Work in garter st for approximately 6 rows.
Sew two sides shut, leaving one open for stuffing. When it is stuffed, thread yarn on needle, gather the bottom opening, and sew to head with one of the seam sides to the front.
Leaving a 3-4” tail, finger knit for 1 ¼”. Pull through head so that about ½” of knitting is showing on either side of head. Now pull the ends of the yarn through, close to where the finger knitted ear comes out of the head and, leaving the finger knitting to be a tiny loop, loose the end of the yarn in the body of the knitting and trim the end. Repeat the last step for the other ear.
I use a large stitch holder to make the tail.
Wrap yarn around the stitch holder thickly, to the desired length.
Stitch with yarn tightly down the center of the wrapping.
End with a strong knot. Cut the loops and fluff up. Sew to tail end of squirrel.