The idea for the day is this: you buy a full clay chess set (plus some extra clay to add on to it) and are encouraged to twist, bend and style the pieces to your liking before firing them in your home oven. Painting afterwards is optional, since the clay would already be coloured light and dark for the opposing sides. I'm not sure if there's a kind of clay that can be fired at temperatures found in a home oven.
Mokalus of Borg
PS - Maybe the craft company could offer a firing service by mail.
PPS - Included in the cost of purchase, of course.