Web, Sea-Rex, Fuzzel, Sarah, Tim and Angel - Thank you for your kind comments.
Angel - I am not sure if sculpting in clay will help you in the game industry but it is nice to have something you can touch. I use a polymer clay called Super Sculpy. It is like a plastic clay that you can bake in an oven at about 250 degrees F and then it turns rock hard. You should be able to find it in the local craft stores.
As far as shaping it, I use my hand mostly to get the general form. Then I have some dental and wax tools to do refining.