There are many different materials today that can be used to make prosthetics, but most of them can be hard to find and complicated to use, but gelatin is available anywhere, and with a little practice, is very easy to work with.
Unflavored, unsweetened gelatin powder.
Hand mixer (with only one beater)
skin colored acrylic paint
flesh tone makeup
Step 1: Sculpting
To begin, use some plasticine clay to sculpt your prosthetic on a paper plate, in my case I'm making a puzzle piece shaped wound, from the 'SAW' films, but this can be used for just about anything (burn scars, bullet wounds, gashes whatever). Make sure to smooth out the edges of the sculpt as best as you can, the smoother you blend it into the plate, the easier the piece will be to apply later. cut the bottom out from a plastic container, and place around your sculpt, seal edges with more clay.