Thanks for the great pattern. Here's my first attempt at a pegasus stallion: smithers888.deviantart.com/art…
I used felt which, as mentioned below, is not the best choice, but it was the cheapest. I think it didn't work out too badly for a first attempt.
One issue I did have with the pattern was that the neck on the belly piece wasn't really long enough to reach the chin - the distance from E1 to the unlabelled marker between E1 and E2 is further on the body side pattern than on the belly pattern. I guess a positive of using felt is that I could stretch it enough to make up for the difference.
I think I can see why you prefer tacking to pinning. I used pinning the whole way through this and had a few moments where it was difficult to get the pins in place without causing the fabric to bend out of place. Not to mention the number of times the thread got caught on the pins while I was trying to pull it through.