The best type of clay for this project is polymer, or oven-bake, clay. I recommend this sculpt and bake kit. It is great for beginners and has tons of useful tools and colors. It also contains many eye pins  for making your sculpture hangable.
 https://www.amazon.com/dp/B07HQGP98D/ref=cm_sw_r_cp_apa_i_AmHIFbYBCEMC6

I have also used this smaller kit, and it is also excellent:
https://www.amazon.com/dp/B07WJ41L9Z/ref=cm_sw_r_cp_apa_i_loHIFb4A7W25F


You are welcome to use any clay you'd like, but the larger set is the set we'll be working with in class. 
Bake at 260-275° under a foil tent for 25-30 minutes. After the timer stops, turn off the oven and leave your creation inside for 20-30 minutes to prevent rapid cool down. When clay cools too fast, it can crack. 


Parchment paper to cover your workspace.
Sarah wrap
Ziplock bags (I recommend snack bags).

If you do are not buying the above set, you will also need these:
Clay - You may use white clay, but we will not be painting in class. I recommend pre-colored clay. 
Toothpicks
Sculpting tools (suggested but not required)
Paring knife or exacto knife.

Other optional supplies:
Rolling pin (acrylic recommended)
Mini cookie cutters or plungers. I like these: https://www.amazon.com/dp/B07BXZ6X4D/ref=cm_sw_em_r_mt_dp_05EHFbPH5WJQR