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.
Step 2: Casting
Spray some release agent (i.e. cooking spray, PAM will do) on your clay prosthetic and the walls of the container, just enough to very lightly coat everything. Mix up your plaster, pour in just enough to cover the sculpt, then tilt and shake your plate so that the plaster gets into all the nooks and crannies, then pour in enough plaster to fill the container about half way.
Allow your plaster to dry thoroughly, when the surface is cool to the touch, you'll know it's done. Carefully remove the plaster from the clay, you might destroy your clay original in the process, but were done with that now any way. If any bits of clay are stuck in the mold, run a little bit of warm water in it to soften it up, and use a metal pick (paper clip would suffice) to get the bits of clay out.