For my customs, I generally use Super Sculpey for the new details. Regular Sculpey is a little too creamy for my tastes.
I also *never* bake it, I prefer boiling to cure it, as there is less odor that way, and less risk of damaging the plastic of whatever action figure you've put the Super Sculpey on. The water doesn't even have to literally be boiling, it can just be hot and will do the job, but experiment with it to see. I also generally 'boil' each area of detail as I complete it, rather than try to sculpt an entire figure at once and ruin the details by handling it while still soft.
It's a great medium for adding new details, but I don't know that I'd use it to build an entire figure from scratch. It would be too brittle for the moving parts.
I've recently been working in a new medium for a life-size prop replica. It's two-part epoxy putty, and I was thinking it might have uses for making the basic shape of an action figure. It hardens with no shrinkage in three minutes time, so you have to work very fast. But then it's sandable, drillable, etc. Very sturdy stuff.
You could make the rough 'skeleton' out of epoxy putty and then do the fine surface details from Super Sculpey. Just an idea.
Alex