Using wax, blood paste, fake blood, and makeup!
This was merely my first attempt. I can't wait to see my progress.
Step 1: Update: 10/14
It has been a while since I originally created this look. I've read your comments and decided to sum up how I did it, so you all can try it yourselves!
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.
Now that the wax is adhered to your finger. you are going to shape it so that it looks more like a bone, and less like wax (of course).
I tried to round off the edges more, while keeping a flat end. As my memory recalls, I ended up with almost an inverted triangle shape. (Picture an upside down triangle laying against your finger)
Note: this look wasn't very durable. It was more for show and the sake of seeing if I could pull it off. :)
After your bone is adhered to your finger and shaped nice and bone-like, it's time to make it bloody! For this, I piled blood wax (essentially a thick jelly that is blood colored) around the bone and also applied some directly to the bone- so it wouldn't seem so clean.
You could also use coagulated blood (it's like a thick syrup and easily purchased at party stores during Halloween). Or add some liquid latex and paint it! As always, this part is best left to your imagination and how you want it to look!
Step 4: Cleanup
To remove this makeup, I pulled it off with a bunch of paper towels and applied spirit gum remover, then washed my hands like crazy.