I use copper electrical wire. I strip off the insulation and cut it into small pieces. I use one piece for the leg and it extends beyond the bottom of the foot so I can stick it into a hole drilled into a piece of wood to hold it. I bend a second piece into a 'V' and use it as the outer toes and then a third piece with a bit of a bend is the middle and rear toes. (I hope you can visualize this.)
I solder them together and then using the dremel and a file, I sharpen the tips to make the claws.
Now, I am not completley satisfied with the way I cover the wire. I've been using that rubber stuff that you dip your tool handles in :-/ I apply enough coats to build it up. I have recently seen it done with a ribbon epoxy which allows you to add more detail.
Then I test them on the bird and the branch I'm mounting it on and make any necessary adjustments.
Chris.