The kids and I just made these great little nature sculptures I found at The Artful Parent (she found them at Write, Mama, Write!) I love this project for it's many varied steps. First the outdoor exercise-hunting and gathering objects of nature while pushing a doll stroller around the block. Then the indoor exercises-organizing your nature objects, molding and imprinting the clay sculptures, baking them and (optionally) painting them. One of my children was more interested in making worms and mustaches with the clay than with sculpting it, but that didn't detract from the fun or the success of the project. In fact, it helped give the grown-ups time to roll the clay.
We bought our Sculpey modeling clay at Target, but you may be more likely to find it in an art/craft supply store. It's very easy to use. First, you soften it by kneading it a bit, then roll it in golf ball or larger-sized balls, press it on your found objects (to a little less than 1/2" thick), peel objects off, place imprinted clay on baking sheets and bake at 275 degrees for about 20 minutes to harden them (See directions on box, as well). We haven't painted ours yet, but that leaves us an activity we can pull out when we need something new to do.