In my opinion, Sculpey is best for sculpting new, seperate parts, while Milliput is best for sculpting onto an existing figure. Sculpey is easiest to sculpt with after it has been squished around in your hands for a while. This softens the clay and warms it up. To sculpt with it, I use my hands, my fingernails, toothpicks, hobby knifes, and the opposite end of my paintbrush. The first goal is to get it in the shape you want. The second goal is to get the surface smooth so it doesn't look bad.
Here is the biggest Sculpey secret: rubbing alcohol. Dip your finger in it and rub the surface of the sculpt. The rubbing alchohol smooths out the surface like magic. You have to be a little careful though, as it will also obscure fine details.
To cure sculpey, you have 3 main options. The first is to bake it according to the package directions, 15 minutes per ¼" thickness at 225°. If you are sculpting onto an existing figure, meaning there will be more in the oven that just Sculpey, turn the heat down to 200° and add 5 minutes, otherwise the plastic could melt. The second option is to put the sculpey in a pot of boiling water on the stove. The time limit is the same. The only downside to this approach is that occasionally I have had things crack because water got in between the plastic and the sculpey. But that doesn't happen very often. The third option is to hold a hairdryer up to the piece until it dries. This method ONLY works with sculpey that is 1/8" thick or less. It takes about 5-10 minutes.
Let me know if there is anything I didn't cover.