Before you can work with polymer clay, you need to soften it so it's of kneading consistency. You can do this by simply working it in your hands. (Some people put it in a plastic zip-top bag and put it in their pockets for a while.) You can also put it in a zip-top bag and lay it in some warm water (not too hot or it'll harden!), and I've even heard of warming it under a heating pad on the lowest setting.
Once the clay is warm and you can knead it, the fun begins.
If you do burn your clay in the oven, get fresh air into the area immediately. The fumes can be hazardous to small animals. Clean the oven completely before using it again for cooking. Following the manufacturers' directions closely and keeping an eye on your clay in the oven should prevent a fire, but if you should have a mishap, make sure you and anyone around (including pets) are kept away from the fumes.
You can make marble beads from polymer clay following the instructions in Beading Basics. After you've gotten the hang those, you might like to try making some more advanced types of beads and other jewelry pieces. I recommend Creative Clay Jewelry: Extraordinary Colorful Fun: Designs to Make from Polymer Clay to take the next step and a few more besides.
To make a more advanced bead, try this project.
Project: Clay Beads
Age: 5 and up
Materials needed: Polymer clay in various colors, rolling pin, knife, skewer
Roll out a "snake" (called a cane) in a color you like until it's about 1/2-inch in diameter and about two inches long. You can make it bigger or smaller if you want.
Roll out another color so it's flat, maybe 1/4-inch thick or so. You can use a pasta machine to roll it out, or just use a rolling pin and try to get your "pancake" as even as possible.
Cut a square piece out of your pancake that's the same length as your cane and wide enough to wrap around it and just meet on the otherside. Do this several more times using complimentary colors.
With a single-edged razor or very sharp craft knife, cut very thin slices from your cane. Apply this to a round bead you've already rolled in a complimentary color. Roll the whole thing between the palms of your hands until you have a smooth surface.
Make a hole the size you want with a needle or skewer and bake thebead according to the manufacturer's directions (check your oven's temperature accuracy with an oven thermometer). If you have several beads, you may want to string them before baking.
Experiment with this technique of making canes (they don't have to be round, either) and putting them together. You can try putting them side by side and wrapping them with an outer layer. The smaller the canes, the fancier the design.
Try carefully compressing several canes so there aren't any spaces and stretching the composite snake, starting from the center and working out, until your "snake" is longer and thinner. Then begin making your slices. What does that do? Look at beads that have been made from polymer clay in bead stores and pictures and see if you can figure out how they were made. Play together.