Aves Apoxie Sculpt is a two part compound, combine equal parts, that sets hard within a few hours. It holds fine detail very well and you can carve, sand, paint, drill, and all sorts of stuff when it's dry. A similar product is called Milliput. It's the grey stuff I made Garak out of but you can get other colors. The biggest thing is you need to be able to work within the time to get your results. You can build layers but it doesn't behave or blend like an air dry clay does. It can get heavy as well so it might not be the best choice for big dolls. It's great for repairs and static pose figures.
Check hobby stores, Hobby Lobby or places with model cars and railroad supplies or taxidermy shops, and get a small amount to play with. You'll want metal tools, I have one of those double ended dental tools, and water near by to dip the tools and your hands in.
For general ball joint doll making you'll still be happier with La Doll and/or Premiere (a lighter fluffier version). Start here
http://i170.photobucket.com/albums/u270 ... m/bjd1.jpg and work through previous images for a crash course in the a method for making ball joints with air dry. If you want better I can suggest several books any of which has more detailed how-to pictures.