It's a matter of practice and preference. Media available are
Duro, Fimo, AB putty, Apoxie Sculpt, Sculpey, Super Sculpey, Milliput (in various forms) and it really comes down to experimenting with what works best for you. Some figure sculptors will rough out the figure and then carve detail after its dry or will build up detail and work it soft beore the material dries/cures or is baked. With the availability of heads from companies like Mig and Hornet, the hard part of faces and heads is taken away and you can work on details with the body and pose.
My advice would be to pick up a good anatomy book for artists. This will help you with proportion and scale with your figures. There are few sources for 1/35 scale and proportional cards that will give you a heads up on the height and proportions of your figure.
Get some workable wire for an armature and then buld up from there. Make a wire figure first to check your height, where the hips and shoulders are, the posing of the legs and arms and then build your sculpt around that.
If you dig around enough on the link that Al provided, you'll find plenty of material there to help you along. There are several sbs in the archives of that forum that you should get a good idea of what your in for.
With practice comes success so don't expect to come out with a masterpiece off the starting line. Build your techniques as you practice. A good starting point is figure conversion. This will help you build the skills to tackle a sculpt.Matching fabric drape or re positioning limbs and bodies is a great way to work out the kinks. After all if you can't make a seamless conversion, you won't have a great success sculpting.
Good luck
Mike
"Imagination is the dye that colors our lives"
Marcus Aurellius
A good friend will come and bail you out of jail...but, a true friend will be sitting next to you saying, "Damn...that was fun!"