There are many tutorials on dA that will help you do this. Your technique is going to be dependent on the material you choose - some clays need to be baked in order to harden. It means you can work on it for a long time and not risk it drying before it's finished, but it also mean that you need to make it hollow or use a heatproof base, and there is a bunch of things like that which you'll need to keep in mind if you wish it to survive the baking. I would say do a google search. Decide on a material, then read up on that. there is a lot of information out there.
When i see sculptures around here on da it's usually of comic characters so don't know if it's actually comparable, but (if i remember correctly) the artists use something called super sculpey or something along those lines. The artists first star with a thick wire skeleton and begin building from there, that kind of material(super sculpey) must withstand some period of time before hardening, or maybe it goes to the apropriate place to harden(like clay). I once used a airdry clay to do a base for a work, wasn't expensive at all, but you needed to keep it out of the reach of air so it didn't dry over de next 2 days, so it's a quick work material. Hope i have helped somehow.