Just don't use anything that will expand during heating like wood. I've stopped using Sculpy a long time ago myself and switched to Casteline wax. It works like clay, it comes in 3 diff hardness, and there's no baking involved at all. You knead the wax to get it soft. When it cools it becomes hard and its great for when you need any kind of revisions from a complete re-sculpt to tweaks. You just can't do that with Sculpy. It's also reusable if you're on a budget as long as you don't mix diff hardness together.
It takes a little getting use to but when you get familiar with it it's hard to go back to the ole Sculpy. I came from a toy manufacturing background and I got stuck working with wax cause the toy companies (last time I worked for one at least) don't accept work in Sculpy. More info here in the wax and the tools you'll need to work with it

http://www.sculpt.com/catalog_98/Wax/Castilene.htm

Feel free to PM if you want more first hand info about it.

I'd like to try wax, I have one concern that stops me though. I like to get a super smooth finish, I find the best way is to get as close as you can and then take steel wool to sculpey, and you can't sand the wax right? So how could you get the smoothness you can get from Sculpey?

You can smooth Casteline with stuff like Goo Gone, mineral oil, etc. With your sculpting technique you might be better off with Sculpy though. I'll post a separate thread covering Sculpting with Casteline wax in another thread so I won't hi-jack this one. Sorry bout that in advance Rich.

Wow this I'd an old thread brought back to life.

I find it amazing to see just how much I have learned since I started this thread. I hxvd gotten all my questions answered and found so many little shortcuts on what works best for me.

Rob, after almost a year I would hardley consider your reply a thread jack. Glad you took the time to post your advise.

Sorry to threadjack a little bit more, but my new (used) wax pen just came in today! Super stoked.
And Joe, there are so many ways to smooth/shine wax. A harder tooling wax can buffed like crazy, and you still use (fine) steel wool. A really cool thing is that you can get a really clean surface by caaaarefully using a torch to melt it a bit. Lots of trial and error (and I'm still working on it). I'm really curious to hear what Robert has to say about the whole subject though, definitely ample enough material for a new thread.