It mostly depends on the setting. Don't think of them as anthros when naming them. Consider the worldbuilding culture surrounding them instead. Plenty of human characters in fantasy have very strange names and that has more to do with culture not species. This isn't to say that references to physical appearance are impossible in realistic worldbuilding. After all, plenty of real world surnames likely came from descriptions of appearance. So if, say, a fox population enters a largely human or wolf population or whatever, it's safe to assume at least a fraction would end up with a very simple last name like "Fox" or "Foxe" or some archaic derivative depending on how far back the name was obtained. If the setting/tone calls for it, there's nothing wrong with using real human names, or even just dumb animal puns. Basically, standard worldbuilding.