This video demonstrates the technique I use for sculpting them using a polymer clay, specifically Fimo, but Sculpy and other clays work excellent with this technique, too.
Polymer clay is very easy to bake: Just follow package directions for your Fimo, Sculpy or other polymer clay. I usually bake ones this size for 15 minutes.
To attach, once baked & cooled, use E6000 or Hot glue!