I make each little part of it, and stick them together. Usually I use a really simple wire skeleton (Just one or two wires here and there), but now and then I need to glue arms or legs onto the rest of the piece when it falls apart. But we're both making small things here, so usually you don't need wires to keep it together, you do need them to keep an arm raised though.
And for me its MUCH easier to use colored clay instead, I'm a pretty bad painter. Here is an example of an okay piece that was totally trashed due to my inability to paint.

I plan to go back and paint it later, when I'm better at it. The smaller brown sword was the original design I made. It, unlike my newer stuff, WAS made by Sculpey. The only real reason I prefer Premo to Sculpey is because is doesn't get so soft after working with it for a while. But if I was making larger things, I would choose Sculpey over Premo because...
A) I would prefer the large amount of clay to be soft and easier to work with, extra soft clay is annoying to me only when working with small details.
B) Its much cheaper to buy large amounts of it.
Hope this helped!
I also want to add that I liked the brawl figures, but the Midna mask is INCREDIBLE. I mean really detailed, good work on it.