Nice thread on puppet cloth making, quick summary of possibilities. Options are, follow a simple pattern. (ala Nic Hilligoss, ton of knowledge on his site)
Some folks just glue the cloth on. Jon does, and uses clay for collars etc (which can get tellingly thick in cloth.)
Others pin cloth on, and either sew it and pull it off and turn it right side out, or sew it on with invisible seams (sounds harder)
Leevi Lehtinen points out that he doesn't attach the parts, sleeves are seperate from torso etc.
Nathan and Josh Flynn have pro looking clothes which they sew, but they have good tricks for little details.