As an alternative to Milliput you can try Magic Sculp. It's cheaper tahn Milliput by a significant amount and it's very comparable. It used to come only in a rather ugly greenish/grayish color however I saw an ad somewhere for "new in white" Magic Sculp. It's also initially easier to work than Milliput so that might be a good alternative for you if you're planning on getting a lot of practice.
I don't remember when the conversation took place, maybe the middle of last year, but _pink started a thread discussing the different methods for custom puzzle construction. I told myself that one of these days I'd write an extensive article about many of these techniques but I haven't done so yet. I still will but who knows when that will get done.