We used 3/8" rebar for the legs. The arms come with a heavy wire, but my son just had to have Jack holding the jack-o-lantern, so I had to run rebar trough for the arms too. Sally uses rebar for the legs but her arms just use the wire she came with.
For filling, I cut slits into the clothes on the back sides and slid plastic grocery bags in.
The other mod we made was the Sally figure came with this awful red cellophane-looking hair, so we got rid of that and replaced with a wig.