Here is a video from YouTube (not mine):
At the 3:17 mark, the builder talks about how they made elves out of beads and pipe cleaners. Perhaps your local craft store could assist you.
Also, a nice disappearing train effect, worth watching the whole vid.
Here is a link to a craft site that shows how to make similar figures:
http://www.redtedart.com/2012/...pipe-cleaner-people/