I've noticed the same thing with my Fox Squirrel. I rehabilitated her (broken leg) last year and of course since I found her outside dragging her leg, I knew it would be just a matter of time before she'd want to be outside exploring. (She was approximately 4-5 months old when I heard her trying to get away from my 2 investigative rabbits Inari and Sweet Purrturder. Needless to say she's been let out several times to be herself and do squirrley things. Upon her return I noticed alot of her hairs (longer ones) were gone. She continuously grooms, scratches and bites herself. Bathing her is virtually impossible and I'm worried. What should I or can I do to help my sweet friend. Thank you.

A trip to the vet or a wildlife rehabilitator to rule out fungal skin infection or mange would be a good idea. In Illinois, it is illegal to keep wildlife as pets unless you have a permit. You may want to check to see what TX requires.