Thirded for Sculpey.
That book that Rob0130 suggested is a great book and I'd also suggest this one http://www.amazon.co.uk/Fantasy-Creatures-Clay-Techniques-Sculpting/dp/1440336725
It goes into armatures, concept design, baking, painting and is aimed at beginner levels though it does have some useful tips for more experienced sculptors.
Also have a dig around a few creative websites like Deviant art for tutorials. This chap has some very indepth step by step guides to his work http://sculptor101.deviantart.com/