Welcome, mystery fur called Imperiam.
I'm Shinobi. It's always nice to have new members to the fandom. You'll soon discover that we're quite the loving and supportive community; you'll make many friends here, I assure you.
That furry alter-ego you mentioned is known in the fandom as a fursona. And when it comes to creating one, think about what animals you like, or which ones you identify with. We may be called furries, but your fursona certainly doesn't need to be furry at all; we've plenty of reptilians here, and I've met several insects and arachnids, too. I chose to be a red fox for several reasons: physically, they're small and lithe, like I am. And like me, they enjoy sneaking around and observing things quietly from the shadows—foxes and I are both very curious. They can also be both social and solitary creatures, both serious and playful. In numerous cultures across the world, they're believed to be keepers of secret knowledge, and are often portrayed in folktales as clever tricksters who would sooner outwit their enemies than fight them. Not because they're cowardly, but because they're smart.
So one way to think of it is to think about what animals are similar to you. Alternatively, you can think about what kinds of animals embody the traits of an ideal you. Or you can just go with whatever animal you think is the cutest/most awesome.
Hope this helped!
And again, welcome to the forum and fandom.