I use tissue paper squished into a ball with damp fingers. This forms your base on which you then create your design with the polyclay, right over the tissue. Bake as usual and when cool, place the bead in a cup of water for a few seconds to soften the tissue, then remove it with tweezers. It will shred and pull out in small pieces. Two Hints: 1) Don't underbake or the filagree will be too fragile and 2) make sure the two "hole" areas of the bead through which the cord will pass are in an area where there is a fair bit of clay supporting the holes, or reinforce the area with a small clay ring prior to baking. You can also use small jump rings, attached with super-glue after baking. It is so maddening to have something you have slaved over for hours crack or fall apart. Have fun claying!
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Use something that dissolves in water, like starch packing peanuts or sugar. That way it's easier to clean it out, and easier to embed objects inside of your bead.
I've found the best way is to use candle wax. Shape the wax in the same shape you want the bead. Then form the bead around the wax, making sure there are holes for the melting wax to run out. Bake as usual and that should do it.
You may have to experiment with oven temps and wax density before it comes out just right.