I've used bird nesting material for my thatched roofs, and then airbrushed it. as I wanted it to look a bit more like loose thatching rather than just a clutter of reeds and whatnot,
you can find some examples on my mordheim page (signature link) i think it shows best on page 11 where there are some overview shots. I've just cut the nesting material to length, and glued it in place, it may be slightly more time consuming than the teddy bear fur, but I like the result better...