You need some kind of an armature to start with. Heavy gauge iron wire is great for tails. Push it through the tail hole and secure inside with clay before continuing. Once the clay has cured and the wire is firmly attached, you can start forming the tail around it, aluminum foil works nicely so you don't need to use as much clay and the tail won't end up so heavy either. If you use Apoxie or some other clay that doens't require baking, you can be more creative with the materials - foil is just something you can put in the oven safely so it works with every type of clay. Once you have the basic form, the rest should be easy. Cover in clay, smooth, cure, sand.
You might want to take a look at a merpony tutorial, Vaporeon's tail is very similar to those after all. Good luck! ^^
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