Gabby, they also sel the stuff at craft stores. If you have one near by you can ask for fimo or polymer clay. Steve did a video on it once.
it starts as a clay then you bake it to cure it. After it cools you can sand and finish like normal. The clay can be sanded really smooth, I have used poly and laquer as finishes. One of the times I did it, I noticed that the dust really stuck into the wood around it (i think it was pink clay on maple, so it was noticeable) I sprayed it with the air hose and most of it went away.