This was merely my first attempt. I can't wait to see my progress.
Step 1: Update: 10/14
First, I used white scar wax and molded it into the shape of the bone. That consisted of rolling it into a short cylinder roughly the size of my finger, then cutting it at at angle. (Tip: If your wax is sticky and/or begins to fall apart when sculpting, dip your fingertips in petroleum jelly. This helps it from sticking to your skin and getting ridiculously messy.)
Then, you'll apply spirit gum (or another adhesive) to the area on your finger where the "bone" will protrude. I chose to place it right under my first knuckle, so it would be more realistic when my finger was bent.
You can also apply the spirit gum to the underside of the wax as well.