Now, I have said it before, and I will say it again, I am no artist or pro crafter, I make stuff and if my kids and you guys recognise it then great, (so I apologise now for some of the dodgy mermaid faces!), but these were generally quite easy to make, and I had made them in less than half an hour.
Felt, the stiffer the better, and in a variety of colours
Start by glueing a few strands of cut up wool, for hair, onto the top of each peg, whilst the glue dries, cut out your tails from each colour of felt you want to use. Once the glue is dry, colour in the closed end of the peg, add a mermaid bra top and a smiling face, continue until all of the tails have a mermaid and your ready to play!