There are a number of craft skills required to make a Muppet. The level of difficulty depends on the construction. So far the Kermit replica is not too challenging - more of a problem to getting it to look right than constructing it. In fact, Kermit is surely on the easier end of the scale compared to sculpting reticulated foam or casting shapes.
So long as you can source the fur, I can't imagine Elmo being all that difficult. As with Kermit, he's a simpler Muppet, but getting the proportions right is required for a good likeness.
If you're satisfied with a toy version, there is a history of official merchandise going back to the 1970s. Fisher-Price Kermit puppets appear on eBay occasionally, and Elmo puppets are readily available in many places. These pale in comparison to a good hand-made replica, though.