You will need some Sculpey, an oven, something to use to shape the Sculpey, and something to use as a work surface, as the colourants in Sculpey can stain some surfaces before the clay is baked. Optional is aluminium foil, to make a basic inner shape with, so that you don't use too much Sculpey.
I use the back of an old plate as my work surface, as it is non-porous, easy to clean, and the Sculpey doesn't stick to it too much. My modeling tools are toothpicks, an old knife and a manicure kit. This last seems strange, but is very useful, as the tools have different shapes, and are a good size.
Also, my heartfelt apologies for the terrible quality of the photos. I originally made this tutorial for a MLP fan site back when everyone had dialup o.O
First, make a base shape out of aluminium foil, this is so you use less Sculpey. For the 'Lipstick' I am recreating, the base shape should be about 1.5 to 2 cm high, 1.5 cm wide and cylindrical.
Using a base form will mean less clay is used, which translates to less baking time.