You too can have your very own collapsible Dry Bones. He takes less than a day to make, and will provide hours (I'm sure) of enjoyment.
Disclaimer: Dry Bones is likely fragile, contains small pieces, and should not be given to small children. Also, clay is not safe for eating, ovens can burn you, and you should always consult your personal crafting guru before embarking on a project of this sort, because I certainly do not know what I'm doing. You have been warned.
Shall we begin?

Step 1: Supplies

You will need:
Clay - I used Sculpey III, but you could use any other bake-able clay. Or, if you wanted to use the baked clay pieces to make a mold and make a more durable Dry Bones from plastic or something, have at it.
Clay Tools - Something to cut the clay with, something to pierce the clay with ( I used a big sewing needle), you could use a pasta machine to make the clay sheets more even. This can be as complicated as you want, really.
Aluminum Foil - Optional, but saves clay and makes finished Dry Bones lighter.
Drinking Glass - For cutting circles. I used a juice glass that I also use for mixing paint. Don't use one you actually drink out of.
Oven + Baking sheet - Or whatever your particular kind of clay needs for hardening. I also line my baking sheet with aluminum foil, so I don't get clay all over my food the next time I use it.
Elastic Thread - You need this to string Dry Bones together at the end.
Time - I made Dry Bones in about half a day.

Step 2: Dry Bones' Head - Part 1

We will begin by making the base of Dry Bones' head. We'll add details later.
+Make a ball of white clay. (Note: white clay picks up other colors easily, so work with clean hands and a clean workspace) *pic 1
+Form a thick log with the ball. Bend the log into an L shape. *pic 2, pic 3
+Hollow out two spots on the inside of one of the arms of the L for Dry Bones' eyes. I useed the clay tool shown, but you can use your fingers, or whatever else you have available Also create a small divot in between his eyes to create an m-forehead shape. *pic 4
+Cut the other arm of the L in half to create Dry Bones' mouth. Slope the bottom portion backwards to create a shorter, deeper bowl shape, and bend the top portion over top to create a beak shape. *pic 5, pic 6
+Add teeth. Engrave a jagged pattern along your mouth with a needle, then fill in with white clay. Use your fingers to smooth the seams. Repeat on other side. *pic 7
+Remove the excess clay from behind Dry Bones' eye sockets. See the shape that needs to be created in *pic 8
+Add a hole for your thread on the underside of Dry Bones' Mouth. Stick the needle in at an angle on one side, and work up the clay, then stick the needle in on the other side to push the hole all the way through. Should form a sort of clay bridge. *pic 9
+Add two small divots on Dry Bones' nose to create nostrils. I used the needle to make two small teardrop shapes. *pic 10
Great! Now he needs some appendages...

Step 3: Dry Bones' Limbs

Dry Bones has 4 arms and legs (that are all the same), 2 shoes, and 2 gloves. Let's do those next.
+ Make several small balls of white clay. Giant-pea-sized balls. *pic 1
+Roll one of the balls into a log and cut it in half. *pic 2
+Pierce through the center of the logs to create a tube bead, then engrave decorative lines around the whole thing (Being sure to keep the hole clear). Repeat for a total of 4 arms and legs. See finished arm/leg here: *pic 3
+ Take another small ball and roll it into a lopsided log shape. It should look vaguely like a shoe, because that's what we're making. *pic 4
+Cut out a shoe sole from a sheet of orange/brown clay. Think cheesy gumshoe detective footprints. *pic 5
+Add the sole to the bottom of the shoe, add a rope of clay around the ankle, and pierce through the ankle all the way to the sole to create a passage for your thread. Repeat for a total of 2 shoes. *pic 6
+ Gloves! Squish one of the balls of white clay into a disc and cut out three fingers and a thumb. Cut out a triangle of clay in between the fingers in the thumb. *pic 7, pic 8
+Carefully roll the clay fingers into finger shapes, and bend them under slightly, like dry bones is holding something. Add a rope around the wrist. *pic 9, pic 10
+Add a hole at the wrist, just like on the head. Angle in one side, push up the clay, make a bridge. Repeat for a total of two gloves. *pic 11

Step 4: Dry Bones' Shell

Next, we need something to attach all those miscellaneous parts to. Time for the body.
+I used aluminum foil for the center of the body, to save clay, lessen baking time and make it weigh less. Form an oval-spherical shape and pierce a hole through the center (long ways) for the thread. *pic 1
+Cover half of the foil (long ways) with a thin layer of black clay. Be sure to keep the hole clear! *pic 2
+Use your needle to poke two arm holes. Pierce from the center hole, to a little ways down and to the side. Repeat on the other side. *pic 3
+Roll tan logs and use them to cover the rest of the foil. *pic 4
+Roll a white log and wrap it around the seam of tan and black clay. Keep the hole clear! *pic 5, pic 6
+Create a stone pattern on the black part of the shell. Cut small angular pieces from a thin sheet of grey, and apply them to the shell, keeping black visible in between (like grout). *pic 7, pic 8, pic 9
Make sure the holes are clear.

Step 5: Controls, and Bake 1

This is what we will attatch the string to for the 'marionette' part of Dry Bones. You could use a stick or something instead, but this is prettier! I mean, more professioinal looking.
+Cut a circle out of a thick sheet of yellow clay. *pic 1, pic 2
+ Cut a band about an inch tall, long enough to go around the circle out of thick yellow clay. Wrap it around the disc to create a bowl/container shape. *pic 3
+Pierce two holes in the center of the disc. (Note: Your marionette will be marginally more operable if you make your holes further apart than they are in the picture) *pic 4

Bake everything you have so far according to the manufacturers instructions!

Step 6: Dry Bones' Head - Part 2; Decorating Controls

Now we are going to make Dry Bones look like Dry Bones.
+The head should be nice and solid now that it has been baked. Fill in the eye sockets and nostrils with black clay. *pic 1, pic 2
+Add two small yellow dots to the eyes for pupils. *pic 3
+If you want to smooth over any mistakes on Dry Bones, add white clay and smooth it in.
Decorating the Controls: Optional, but awesome.
+Cut thin strips from a sheet of thin orange clay.Add strips and small dots in a square shape to outer rim of yellow controls.*pic 4, pic 5
+Roll a thin white rope, shape into a question mark and place in center of orange square. Repeat all the way around. *pic 6, pic 7

Bake these two pieces again! (still according to the manufacturer's instructions)

Step 7: Stringing Dry Bones Up

+Cut a long piece of elastic thread. Run it through your dry bones pieces like so:
Through the right foot, through the leg, through the shell, through the arm, through the glove, back through the arm, back through the shell, through the head, through the shell, through the arm, through the glove, back through the arm, through the shell to the bottom, through the leg, through the shoe.
I would just look at the picture. Knot securely at the bottom of Dry Bones' shoes. I added glue to keep it from coming undone. *pic 1, pic 2, pic 3, pic 4, pic 5

For a fully strung Dry Bones, *pic 6

Now to add the marionette!
+Tie strings to both of Dry Bones wrists, and to Dry Bones head (I tied it around his neck, actually,which felt kind of wrong). *pic 7
+ Run the strings through the controls as shown in the picture. Left threads through the left hole, right threads through the right hole, split the head threads in half. Tie on top, secure knots with glue. *pic 8

And.....

Step 8: Fully Functioing Undead Koopa!

Go play with your new friend! (and get some real friends, because calling a Dry Bones marionette a friend is frankly a little weird)

Thanks, I hope you enjoy your Dry Bones!