The workspace
Make sure you have water around, as well as a water-proof surface (such as this broken tile) on which to knead the stuff. Sculpting tools will also come in handy for what is coming up.
Torch
I have a sorceress (actually a Bretonian damsel, but I use her for DnD) that came with a broken implement (wand?). It was something silly anyway, so I decided to sculpt a torch on the end of her stick. My inspiration: the Soldier with torch.
I did not take any in-progress pictures, but here's the gist of it: place a pinecone-shaped piece of green stuff on the end of the stick. Wait for it to dry and harden a bit, then use a blade to create swirls in the green stuff. You can observe the result in the painting article.
Horn
My painted Daemon Prince lost a horn a while ago. I decided to replace it. I used the same technique as above: place an appropriately sized and shaped piece of green stuff, then use a tool (this time, a toothpick for slightly larger but less angular ridges) to create the pattern (small lines at the base of the horn, as for the other horns).
Conversion: Tiefling rogue arm
Finally, I have a Tiefling warrior (I really hope it's not a paladin) miniature. Of course, Tieflings tend to be rogues and warlocks, so I decided to replace his shield hand with another one, holding a weapon.
A Plaguebearer arm is of the right size, once I chopped off the shoulder part.
Thin, round pieces wrap around the arm. These are the leather straps that hold the bracer in place.
Knead a piece of green stuff with the shaft of a knife or brush until it becomes a flat, thin plate. Then cut it to an appropriate size and shape. Make sure the surface underneath is wet, so that it won't stick to it very strongly.
Repeat until satisfied.
The joints do not exactly match, so apply more green stuff to the elbow.