I was actually Max this past Halloween. The costume was made totally from scratch and, while it was a bit too loose-fitting, I think we did a decent job. It went from bolts of fabric to Max in about 4 hours with the help of a theatrical costumer friend of mine.
I don't know much about the sewing methods used, but I'd be more than happy to dig the suit out and take some close-ups of any stitching or other parts you'd like to see.
It was a sort of last-minute costume, so I wasn't able to find a furry material for the tail that looked like in the movie and had to settle for a solid black. Also, the fingerless gloves aren't attached to the sleeve like in the movie. Instead, I wore 5 pairs of photographer's cotton gloves and cut the fingers off. I figured, as a 30 year old man dressed as an 8 year old, 100% screen-accuracy wasn't something I needed to worry about being judged for.
As for the whiskers, those turned out to actually be one of the easiest parts. I found some dark brown (almost black) cloth-wrapped wire at Jo-Ann fabrics. I cut a couple strips of cardboard and made 4 small holes in each, about 1/2 apart, bent the wire to a long U shape and stuck one piece through each set of two holes. A piece of tape on the back of the cardboard to hold them out straight, then push the wire through the hood material from the inside and hem the cardboard in. Last step: twist them all wonky!
The picture here is the only one I have on me at the moment but, like I said, if you'd like any closer details, just ask and I'll take any of the suit that you'd like.