As far as I know this is only a problem on Vintage kenner Star Wars figures.
There are several ways:
You can use a hairdryer set on low. Run it over the figure for a while and the fuzz should disappear. The fuzz is actually a mold, and the heat will kill it!
Another method involves non diluted 70% v/v isopropyl and a soft cloth. You put the alcohol on a cloth and give the figure a once over. A Q-tip will work for the fine details. This may have to be repeated, as the mold may return in time.
The last method involves setting the figure in the sun or under a lamp for a period of time. This is most commonly used when the figure has grown fuzzy while still carded. Do not set the lamp too close to the bubble or the risk of melting can occur.