Raid your local dollar store or hardware store for wire, you'll want something fairly sturdy (I like 18 gauge wire) for your base structure. It should be difficult to bend with your hand but reasonably easy to pose with pilers (pick up a pair of those at the store too if you don't have any!).
I also like using a smaller gauge wire for fine details like muzzles, ears and fingers, say 20-22 gauge. The wire is bent to make the skeleton; doing some sketches before hand to get the proportions right is helpful. Over the basic frame, pad out the areas that should be bulkier with aluminum foil. Not only can you bake the foil without any problems, it'll save you money since you need less clay. Don't overdo it though! You should still have at least a 1/4 inch layer of clay over all the major areas by the time you're done. Any parts that stick out (like muzzles, ears, large, flowing hair, tails, hands, etc.) should have wire armature underneath for strength and durability.
There are two routes you can go when it comes to choice of clay - a single color (if you'll be painting the finished piece) or various colors to represent the final finish.
If you're going to be painting, I'd choose a package of Super Sculpy. It comes in 1lb flesh tone blocks, enough to make quite a few pieces. If you're going with colored clay, Premo is my first choice (it's a bit firmer than Super Sculpy, so more forgiving of handling and better durability.) It's by the same company as Scuply, and most fine art stores should have it.
Right then. Once you've got a sketch, made an armature, and padded with foil, you're ready to put on the clay. A few simple tools are suggested - a paintbrush with a rounded end, something pointy like a wooden skewer (or an appropriate paint brush end). A cheap paintbrush for smoothing the clay is also a good investment, either use an old paintbrush that doesn't keep a point anymore or pick up any old brush at the dollar store. A paperclip is also great, take a look around your home for things you can use as tools. Bits of shaped popsicle stick and dowel are just as useful as the expensive sets from the fine art store.
You can bake most polymer clays several times, which is very useful for "setting" parts of the sculpture you're done with. I find it easiest to do the body or the head first, bake, then do the other part, so I have something safe to hold on to while working at all times.
Depending on the subject matter that you're sculpting, it's also very convenient to prebake things like teeth, eyes, and claws before doing your main piece. Once hardened, they can be set into the paw/jaw/head without having to worry about smucking them with a clumsy finger.
Sorry about the long ramble. Hope that helped!~
