I cannot find the author or title of a story/series of stories about cute little fuzzy aliens who believed earth fiction was real and attempted to recreate/live it by taking on the roles of various great characters and situations in literature. One in particular took on the role of Sherlock Holmes. They were on a dual species in-habited planet and had been in conflict with the other species who were reptilian and hostile- the reptilian species largely moved off the planet due to a human bribe IRC.
Maybe you're thinking of the Hoka series by Poul Anderson and Gordon Dickson? There is a Sherlock Holmes character in "The Adventure of the Misplaced Hound", which first appeared in Universe Science Fiction, December 1953, available at the Internet Archive.
Through the door of 221-B came a horrible wail. Jones froze, ice running along his spine, and Geoffrey cursed and pulled out his raythrower. The scream sawed up an incredible scale, swooped down again, and died in a choked quivering. Geoffrey burst into the room, halted, and glared around.
The place was a mess. By the light of a fire burning in the hearth, Jones could see papers heaped to the ceiling, a dagger stuck in the mantel, a rack of test tubes and bottles, and a "V.R." punched in the wall with bullets. It was hard to say whether the chemical reek or the tobacco smoke was worse. A Hoka in dressing gown and slippers put down his violin and looked at them in surprise. They he beamed and came forward to extend his hand.
"Mr. Jones!" he said. "This is a real pleasure. Do come in."
"Uh—that noise—" Geoffrey looked nervously around the room.
"Oh, that," said the Hoka modestly. "I was just trying out a little piece of my own. Concerto in Very Flat for violin and cymbals. Somewhat experimental, don't y'know."
Jones studied the great detective. Holmes looked about like any other Hoka—perhaps he was a trifle leaner, though still portly by human standards. "Ah, Lestrade," he said."And Watson—do you mind if I call you Watson, Mr. Jones? It seems more natural."