Just looked at a pair of shoes with tassels exacty like that. They were made from a very thin piece of leather, cutting strips like you would in making a fringe, then rolling it up around a thong with a knot tied at the end, then sewing a few stitches across the "solid" (uncut) end. Another pair had the cuts made only in the middle, with both edges uncut (somewhat like belt slots, except just narrow slits). When sewed, the cut portion bulged out like an old-fashioned lantern. And still another had the end of each strip of the fringe tapered, like a belt end.