Hey Metal Cat,
You can make smooth female legs from sheet foam, but don't put any latex on it.
First you cover the armature in thick foam and carve the shape with scissors.  That has a rough surface, but don't worry!  Then get some very thin foam, like the bandage under-wrap that comes in a 2" wide roll.  If you stretch that over the top it will smooth it - you can even improve the shape by stretching a little tighter where you want to make it thinner.  There will be a slight seam where the foam wraps around and joins, but you can put that on the inside of the leg.
Then sew up two tubes of panty-hose material and pull them on like stockings.  Or, you can even skip the thin foam and use the stocking material to smooth out the shapes.
Another way, like Marc suggested, is to use Sculpey for most of the leg.  Then just patch in a little foam at the join.  You can control the shapes and the surface more with Sculpey (or a slower setting epoxy putty like Aves Apoxie Sculpt if you don't want to bake it).
I was thinking I've done enough little exercises for a while and need to get on with making an actual film again - but this topic has got me interested... first I have to look over the previous pages, because I was getting an idea that involved Edgar Allen Poe and I want to see if it's already being done.

m_) I have been distracted by this exercise as well, so any current idea for a film will be stand-by for the sake of a refreshing entry this month with the all new animate-clay. Not the first time I get distracted by a challenge anyway, so it won't hurt doing this, at least one more time.

m_) Nick, you are the expert here, I will take your tips about making legs and the overall of my doll.

m_) There are some things to consider:  1-My doll has already a baked-sculpey face and hair, so baking legs won't be possible at this point. I still can add thin foam and shape her legs with scissors. That would do! And I never thought about panty-hose material but maybe a baige color of it could make the skin likeness I am looking for. -yes, she is expected to show her legs naked.

m_) I liked also the option of using epoxy putty. I tend to believe epoxy putty is only for making bones, but how silly of me, no one is going to TOUCH her, so it won't matter whether her skin is made of hard material or soft (seriously, that was very insightful, thanks!) Definitely a lesson for me to break the ice and experiment in a broader kind of way than thinking certain materials should only be used for one particular thing only. Sometimes I am just that silly, really.

m_) Alright, we'll see what the night brings, and I will take some pictures to share with everyone.

I'm starting more to worry about if I'm going to make it.
I have been busy alot with all sorts of stuff, and we're going on vacation too this month.
So I really must hurry, since I'll be leaving 20th of July.
And the heat is killing me.

Cheers for those links.
Reminds me I have to get my hands on the 'The Pit & Pendulum' Stop-Mo Short.

@Vitriol - thanks for mentioning that. I looked up the website and the video looks neat. I never knew such a film existed
http://www.thepitandthependulumshortfilm.com/index.html