Most figures are sculpted in either Epoxy Putty or a heat cured clay product like Sculpey or Super Sculpey. My prefered method is Epoxy Putty because it cures to rock hard over the course of an hour or two. You can heat cure it in about 10 minutes too, which is nice when working areas that can get damaged if you try to work other areas while it's curing. You can cook it off and get right back to work. Some folks use traditional sculpting clays like those made by Chavant. John Rosengrant, of Warriors, uses clay to do his heads, and then makes a silicone mold and a resin casting, which he then uses for the model. That way he has the head on hand for future products as well. I also make castings of my better heads and hands for the same purpose. Like Rosengrant as well, I also use resin castings of torso and pelvis blanks to cut through the BS in the armature building process.
For details, anything goes. I used different diameters of wire and solder, fabric and many other found items to model details. Styrene strip, sheet, and rod stock are indespensible as well.
One of the easiest tips I can give you is to buy a figure kit in the scale you are hoping to sculpt in. Buy one that has the kind of detail that impresses you and where the anatomy is of high standard, and study it. Use it as you begin your own figure, to compare to in order to keep your own work in scale. Whatever it takes to get the job done.
Research is one of the most important factor though. Both in terms of the subject itself, the uniforms and history of the events surrounding the figure as you have chosen to model it. The more you know about say, the Battle of the Bulge, and what the experience was like for the particular unit the figure you're modeling belongs to, the easier it is to model the attitude he should be conveying. I have a huge library of books on the subject of uniforms, equipment and vehicles , as well as general and specific history on battles, wars, units, flags and drill. The internet provides a little info, but I've found it to be of little real help for good detail shots of clothing and such. The different books series in the Osprey line of books are a wonderful resource, as are those of Squadron/Signal and Concorde Publishing.
There are some very helpful books and articles that can help you along the way to sculpting. Bill Horan's Military Modeling Masterclass has some great step by step articles on sculpting. If you can find a copy of Shepard Paine's book on figure building, it has some great info as well on sculpting. I've been subscribed to Historical Miniatures Magazine since about 1996, and it often has good articles on scratch building. John Rosengrant had a great how to in the last issue, which should be available now in a well stocked hobby shop. You can pick up issues direct here, http://www.r-kproductions.com/historical_miniature_magazine.php
I find that just looking at other people's work is very important, as it gives me the inspiration I need to do my best. That Rosengrant article provided the inspiration to start the 120mm Hussar project I showed off in another post here last night.
Here are some resources.
Magic Sculpt: http://www.magicsculp.com/
Sculpey Products: http://www.sculpey.com/products.htm I'd go for Super Sculpey if yo go with this product. Everyone who uses this product says that the SUper Sculpey is far superior to the original.
You can find used copies of the Bill Horan book at Amazon. Shep Paine's book seems to be out of production, but I'm sure you can find a used copy on line as well. There's also a book by Kim Jones, called Sculpting Miniature Military Figures With Kim Jones, which has some useful techniques. Jones also has a useful book on scratchbuilding weapons for figures, which is as much a companion piece to his sculpting book as Shep Paine's Modeling Tanks and Military Vehicles is to How to Build Dioramas.
Once you get your materials and supplies, just dive in. Don't be afraid to screw it up, as long as each consecutive figure is better than the last, you're learning.
I almost forgot. For stockpiling arms and legs, you'll have to just buy lots of kits. That's pretty much what most of us have done. I have about 15-20 years worth of 1/35 scale figure parts in several boxes for parts if I need them.