I never made a whole figure. I started on the torso, but got really intimidated when it came to making a head and face. There are lots of great tutorials out there for sculpting whole figures. I'd recommend trying YouTube, because it's such a detailed process that really seeing it in motion helps so much more than looking at picture tutorials. At least that's my opinion.
Well, sometimes I've had that problem and it turned out I was actually using white clay... haha. But what might be happening with yours is that it's either too thick or didn't bake a the proper temperature for the proper length of time. Translucency can also vary from brand to brand of clay. So maybe try a few different brands (Sculpey, Premo, Fimo, and Kato are the most popular polymer clay brands) and rolling them out very thinly, which can be difficult to do without tearing, but it helps make for a more translucent milkshake glass. Hope that helps!