Ok, some answers (I assume you're using polys for everything):

1) Use the attribute editor for the fur to change settings numerically. Or you can also 'paint' these settings using the Paint Fur Attributes tool

2) For your poll you could select the 3 sides (faces) you want rounded and then click smooth in the polygon menu (you might need to tweak the settings of the smooth by clicking on the square next to it in the menu). Or you can make your poll have more edges on one side (use the subdivide tool in the poly menu) and just move these manually into the rounded shape as you desire.

3) use the combine function in the polygon menu. Or if the bits you want to group stick through each other you might want to use the boolean > combine function instead.

I hope this helps you