One question we often get is "Why do you attach eyes, nose, mouth etc after stuffing, and how do you do this so that knots aren't showing?" So here is a tutorial that is perhaps not easy to convey with pictures only or words only, but hopefully with the two combined it will make a lot of sense!
To answer the first part of this question, attaching applique pieces after stuffing a softie has two big benefits. The first is that a softie can be quite unpredictable and depending on fabric used, width/size of fabric pieces, firmness of stuffing etc, the end stuffie can be quite different in proportion than you initially thought.  With adding details after the toy is stuffed you have great control over getting the perfect placement and having a balanced toy.  The second reason is to avoid distortion or damage to your applique pieces.  One concern when doing your applique first is that the stitches could become damaged or pulled by your stuffing tool during the stuffing process. Another concern is that the fabric stretches (as it will do if you stuff firmly) and this may pull your stitches or even make holes in your backing fabric.  Of course this is not a hard and fast rule but it is the way we usually like to work.
For the second part of the question I will need to employ the help of some photos.  For this tutorial I am going to attach a nostril to this unfinished "Drake the dragon" by "sinking" the knots....

In preparation for this step, you will have attached the nostril to your softie with the use of fusible web and your iron.

Now thread your needle with the specified stands of embroidery floss (In this case I am using 2 stands of black floss), and tie a knot in the end as per usual.  I recommend that you tie a double knot in the case of 2 strands or as a rule, ensure that the knot is roughly the same width as your needle.

Enter the needle into your toy at a point a short distance away with the tip coming out at the exact place you want to start your stitching...

Pull the thread through and you will notice that the knot will catch at your point of entry, but of course we do not want to leave an ugly knot at the back of our toy.

Grab a hold of the thread, close to its exit point, and give it a quick short tug...

...this will cause the knot to pop through the weave of your fabric and "sink" inside the softie. You need to ensure that you do not tug too hard or violently or your thread will also come through the top side and you will need to start again.
....Now you can complete the sewing required on your softie. Of course this is not limited to just applique but is also the method to use for any stitching or attaching of limbs/ears etc etc....

Once you have completed your stitching (in this case, I have button-hole appliquéd the nostril in place) and are ready to take your last stitch, tie a knot close to the base of your thread. Again ensure that the knot is roughly the same width as your needle as shown.

Take your last stitch, threading the needle through to the same area that your entered before stitching (I recommend the back of your toy)..

Again your thread will snag when the knot reaches the fabric.  Tug the thread again to sink this finishing knot into the softie...

Cut the thread right at the fabric and this cut end will also sink into the toy..

...resulting in an appliquéd nostril with no visible threads or knots!!

This next tutorial is really only an aid to sewing some of my toys such as Phoebe, Pippi, Dawn, Scotty McSpotty and Kiki to name a few.  I have had a number of people say that they either do not understand or have had difficulty transitioning from sewing around the body to sewing the inner legs. Hopefully this will make it a little clearer and will help those who have tackled or are yet to tackle these patterns.
For this tutorial I am making some basic mini Phoebes, but the principles are the same for any of the mentioned patterns - You would be likely to have something looking a little different than my tutorial pieces - with hoof fabric/toes etc.
Step 1.  First you will have your main body pieces and inner leg pieces which have been prepared as per your pattern.

Step 2.  Following the instructions in your pattern, place one inner leg piece on top of one main body piece, right sides together.  You tack/pin these together and then sew all the way around the edges of the inner leg from toy back to toy front. One note that should be on all of the four mentioned patterns is that you need to curve the seams at the beginning and end of your inner legs to the edge of the fabric.  This is an essential step in the process.

Step 3.  Repeat this with your remaining pieces and you will now have two of the following.

Step 4.  Place your two toy sides on top of each other, right sides together and then pin all around the body, starting from one edge of the inner leg to the other.

Step 5.  Fold the legs up against the body to reveal the top edge of the inner legs.  You will see how the top straight edges of the inner legs are now right sides together and become a circle with the rest of the body.

Step 6. Tack/pin the top edge of the inner legs together.

Step 7.  Now sew around your toy with a small stitch on your sewing machine, starting at the turning gap, until you reach the inner leg seam. If you have curved your seams accurately on the legs (at step 2), you should be able to sew over the leg seam now and continue around the inner legs of your toy and back up to the other side of your turning gap.  Some people seem to be having troubles at this point, or end up with puckers, so the next few steps will show you an alternate method to ensure your seams are perfect.
Sew around the toy, starting at the turning gap, until you reach the inner leg section.  Sew stitches all the way up to the outer leg seam and then secure your stitches with backwards/forward stitching.


Step 8.  Now fold the legs up against the body and start sewing the top edges of the inner legs together, starting right at the outer leg seam and securing stitches.


Step 8.  Sew all of the inner legs together, ending and securing your stitches when you again reach the next outer leg seam.  Fold the legs down again and then start sewing the remainder of your body, up to the turning gap, starting right at the seam once again.

  Step 9.  You should now have a fully sewn toy looking something like this.

Step 10.  Snip corners and curves and then turn your toy right side out through your turning gap. Your inner leg seams should now look nice, neat and pucker free like this!

I hope you all have perfect inner legs now - hee-hee, sounds like we have just completed an aerobics class!

Mrs Perkins' horns and other small parts can be tricky to turn and I often hear of people having piles of frayed horns after attempting again and again to turn the little fiddly pieces.  I actually find it quite easy to turn the horns with just the use of a wooden skewer, but this has come with practice and re-use.  This trick that I am about to show you is fool proof and so quick, some of you will give big sighs of relief, I am sure!

Firstly, the sewing foundations need to be right to get the desired result.  With all small and fiddly bits you would be sewing on the traced line as this gives you much greater control as you work with a larger piece of fabric. We recommend that you always use a small stitch of 1 - 1.5 when sewing any parts that are to be stuffed.  It is also a big help to always use polyester thread for softies due to the added strength.  Cotton thread will break easily and may not be able to handle the strain of firm stuffing.

Once you have sewn your small shape, cut it out approx 1/8" outside the sewn line.

The next step is to grab yourself a drinking straw.  I suggest getting one that is a little sturdier that your "bulk pack" variety. The ones that you get from fast food stores or a re-usable plastic straw would be perfect.

Take your horn between your two fingers and twist the fabric against itself to open it up.

And then slide the horn over the end of your straw.

Now you need to get your second tool (an essential tool for softie making!!) which is a standard wooden skewer - the type you find in your supermarket for skewering meat.  Making sure that you are using the flat end of your skewer, push the sewn end of the horn into the straw opening.

Keep pushing the horn into and through the straw so that it is turning the horn right side out.

Continue pushing the horn through to the other end of the straw....

And Voila!!!  A perfect turned horn - without the sweat and tears!!!

And while you are equipped with your wooden skewer, it is the perfect tool to stuff your horn as well!

Here is my mini tutorial for ladder stitching something onto your softie.  I am using Rudy as a demo but of course this is applicable for any attachments such as arms, saddles, etc.
Here is my Rudy with one antler but waiting very patiently for his next one!

Stuff your antler, ensuring that you turn in the raw ends before reaching the end of your stuffing.  It is extremely important that you stuff both your Rudy and your Antler very firmly or you may end up with floppy antlers.  Once you have turned in the ends (pictured) then firmly stuff the remaining section of the antler until you reach the opening.
 
Take your horn and using the same method as from last tutorial, create a knot on the folded edge.
 
Now position your horn in the desired location on Rudy's head and take the first stitch into the head.
 
Ladder stitch the horn into place as you ladder stitched closed the turning gap (from last tutorial). Take your next small stitch into the horn base (folded under edge) entering the horn at your point of exit from the head.
 
Continue around the horn.  It is extremely important that you are following the circle of the horn base as you stitch it onto the head.
 

Unlike with ladder stitching the opening, I suggest that you pull your thread and stitches tight after every stitch along the way.  Once you have gone completely around the horn I recommend going around a second time for strength.  Once complete, tie a knot close to the base of your thread.
 
And then sink the knot into Rudy's head!
It is pretty much the same method for sewing on something flat, such as an ear but I will quickly show this also.  Here is my sewn, turned and pressed Rudy ear.
 
Sew a small knot into the end of the bottom edge as per previous tutorial.
 
Then sew a row of medium running stitch along the bottom edge.  Once you reach the end, move the fabric along your stitches to hand gather the bottom edge.
 
Once fully gathered tie a single knot at the end to secure.
 
Lay the ear against the head of your rudy in the position you want it sewn. Now ladder stitch the front bottom edge of the ear to the head.
 
 
Once you have sewn the front edge to Rudy's ear, lay the ear down the opposite way and sew along the back edge of the ear so that the ear is securely attached and will stand up straight. Tie and sink a knot and - Ta-da!