I think that choosing your 'fairs' wisely is the best advice. I found myself straying away from my leather to make beaded western jewelry to fill a niche that was not being filled in my area. I've been lucky that it really draws people to my booth and I do sell more jewelry than leather, but I get a lot of custom orders from the people I talk to. I've only been doing "shows" for about a year now and I don't have a formula...especially in this economy. I do know that I do my best to make decent money while still keeping my prices fair and under the competition by at least a little. I suggest having a few of your finest items no matter where you're setting up... and a photo album. I keep a scrapbook (try to make the pictures more appealing to look through with good colors and framing)
I'd rather not make the jewelry and saddle crosses, keychains etc, but seems to me that the shows sell mostly smaller stuff. I haven't been to any craft fairs etc. because of my product line...I stick to rodeos, horse shows etc. Sometimes you just cannot predict but its better to be prepared. Just remember, if you sell out...good for you. I think the important thing to think of is the cost you are paying to set up (vending fees, hotel, fuel, help, etc.) and decide how much profit you feel you need to make for it to be worth your while. Make up at least enough inventory to make the profit you're hoping for...and if you have the funds, make more!
Listen to your customers! I have people make suggestions all the time and I'm doing my best to fill the voids!
Good luck and have fun!
Natalie