Instructions
Purchase a LEGO model and follow the instructions. LEGO sells a range of animal models that include instructions. Check their website, find one you like, buy it and begin building. Some models have custom pieces designed to look like different types of animal legs. You could experiment with the custom pieces and attach them to different kinds of animals that you build on your own.
Use your collection of LEGOs to build your own animal legs. Snap one four-studded LEGO piece onto another and you have yourself a leg. Experiment with more pieces and different-size pieces to create the effect you want. Snap more four-studded pieces onto the leg to make the leg longer. Snap a six-studded piece onto the bottom to create a foot.
Use other pieces sold by LEGO, besides the blocks, to build legs. LEGO manufactures a variety of gears that are compatible with LEGO blocks. Check out and experiment with crown gears, bevel gears and worm gears to create mobile legs. Attach wheels, if you desire. They may not look exactly like legs, but building with LEGOs is about using your imagination.