Armatures. Wire or even aluminum (or both!) in the middle with a thinner layer of clay to make the rest. Makes it lighter as well as having an easier time making/keeping shape, especially odd ones like curliques or rounded ends like tentacles might have, since heavier hunks of clay want to sag or shift with their own weight. You'd just use the wire as a form, and put aluminum over it to fill it out/add bulk, then put clay over that.
Pretty sure I've read about people baking MH arms/legs/bodies without a problem. Fimo clay only needs 230 degrees F by my package, which is fairly low- Sculpey was something like 275 by my roommate's explanation the other night.