The most we ever did to dress-up our horse was reindeer antlers, lol. Those felt kiddie ones you can get for a couple bucks on a headband - the reindeer ears were hidden perfectly behind his own, so it did look like he had little antlers.
If you could find something like that, she could go as a reindeer. Maybe put some bells on, and a big red ball on the noseband of her bridle.
And Caddy is just adorable! I want to hug him and snuggle him! Squeee.