Tilting his head to one side or the other helps. Make sure his collar is straight. I like to make it stand out from his body a little, but on the puppet, it is usually laying flat, so that's not a necessity.
The most important thing to me is curving the fingers, which gives him a more natural look. Again, it doesn't match the puppet, especially in the Muppet Show years when his fingers were just floppy if he wasn't holding something.
Some people smash the shape of the head around, but I haven't found that necessary at all with mine. I like the way he looked out of the box.
The other thing, which I know many have experienced, is photographing him without flash. The flash makes the fleece shimmer, giving him a strange look, especially on digital pictures.
Hope this helps! Enjoy your new buddy!