Its only good if you build it up in layers.... Wire frame bulked out with tin foil... block out the structure with milliput and bake it in a pre-heated (gas mark 3) for 5 mins max. Will come out rock hard but extremely hot... You can just keep going like that - building the sculpture up then baking until you get the desired form. Once its hardened you can dremel and sand it... With milliput preperation - after kneading the two parts together you can soften it by adding water kneading then more water then kneading until it gets like a paste.
Magic Sculpt or Aves Epoxy 2 parts doesn't need to be baked ... it has a working time of about 2 hours after mixing before it gets fully hard ... then as Cyberman said you need to build up your statue in layers between drying ... don't try to get the finer details at once ... after it has cured/dryed you can still sand it, use files for detailing etcetera as if it were 'marble' and you can always add a new small mixed batch for the next layer without distroying your previous sculpted details ... always work with small batches instead of one large mixed batch
I feel I need to dive in here. I think using the right tool for the right job applies here. I think trying to sculpt wth milliput would have disastrous results, I find it difficult to work with. Milliput and epoxy fillers etc are for repairing and filling gaps, whilst you can make basic models with it (scenery etc), I think trying to make a detailed maquette out of it is asking for trouble. What you need is Super Sculpey Firm. It's formulated for this very purpose it won't dry out and you can just concentrate on being creative and not struggle trying to manipulate it. You can then bake it in the oven mold it or paint it, its also non toxic and completley food safe so you don't need a different oven. I think previous advice may work but it's long winded and just plain hard work imao.