I'm learning new things all the time and may find a better way but this is what works for me so far.
The first thing is to have a reference drawing in size to the desired scale of your finished piece. Using wire I picked up at the hardware store, I created an armature to support the clay. Toothpicks can work, but wire is best for long flowing shapes or figures. Now with this one I did something new. I made a small clay interior structure for additional support and then baked it. The reason is I've had trouble in the past with the clay working it's way loose from the lone wire structure as I tried to shape it. This gives the detail layers of clay applied later something else to grip. I'm not sure if this is a proper way to use the Sculpey as you have to bake it several times in layers, but the pieces I did bonded very well. I found that when I had to redo the boots on this piece, I had to carve and cut the clay off the original skeleton. Since this isn't structural or anything, it works for me.
I used a brown shade of Sculpey for the boots and face since they cast shadow and catch light well helping me see the details. The fleshy Sculpey is more pliable and was used for everything else. I forgot to take a picture of it in this stage.
The grey figurine you see is painted with black and white Gesso. I did this to help see any finger prints and imperfections I wanted to correct through sanding and carving. It was about this time that I ran out of weekend and had to finish up. The color figurine was painted using Acrylic Liquitex. This paint has a slight sheen to it so for any areas I wanted to dull down, I just mixed the acrylic with Gesso.