Disclaimer: Dry Bones is likely fragile, contains small pieces, and should not be given to small children. Also, clay is not safe for eating, ovens can burn you, and you should always consult your personal crafting guru before embarking on a project of this sort, because I certainly do not know what I'm doing. You have been warned.
Shall we begin?
Step 1: Supplies
Clay - I used Sculpey III, but you could use any other bake-able clay. Or, if you wanted to use the baked clay pieces to make a mold and make a more durable Dry Bones from plastic or something, have at it.
Clay Tools - Something to cut the clay with, something to pierce the clay with ( I used a big sewing needle), you could use a pasta machine to make the clay sheets more even. This can be as complicated as you want, really.
Aluminum Foil - Optional, but saves clay and makes finished Dry Bones lighter.
Drinking Glass - For cutting circles. I used a juice glass that I also use for mixing paint. Don't use one you actually drink out of.
Oven + Baking sheet - Or whatever your particular kind of clay needs for hardening. I also line my baking sheet with aluminum foil, so I don't get clay all over my food the next time I use it.
Elastic Thread - You need this to string Dry Bones together at the end.
Time - I made Dry Bones in about half a day.