I think most people are assuming that the final product will be in clay thus making the puppet very heavy. That's not how this works. As Muppetperson said - The clay is only there to make the positive shape you want to cast (i.e. the sculpture). The final product will made from very lightweight foam latex. You will have to decide which kind you want to use. This will determine whether or not it will have to be baked. Some foams cure on their own and require no baking. These foams are generally harder than the soft foam latex used for Piggy but that is up to your discretion.
I would make this caveat - if you don't know what your doing you should learn on something small and not so important. This can be a very expensive process and if you screw it up your first time out you will have a mess, will end up frustrated and possibly very angry.
Most prototypes of props, masks, and prosthetics are made this way. First you sculpt the clay positive. Then you will have to cover the sculpture with plaster bandages making sure to allow both the front and the back half to be cast and able to separate once dry. Once the plaster is dry you pull both halves of the mold apart (this can be very tricky) so you must be careful. If you destroy the mold in the process you lose everything and have to start over. You then scrape out the remaining clay and make sure to clean both halves of the mold very carefully. This will destroy your original clay sculpture. Now you have a negative mold. Then you just follow the instructions for whatever kind of foam you get to make your casting. Once poured, baked (if necessary - be careful the fumes are toxic so have plenty of ventilation), then trimmed, you head will be ready for flocking, painting, eyes, mouth, hair, etc.
If this seems too much, might I suggest patterning the head out of sheet foam or carving it from a block.