The point of this guide is show how to create a simple physics enabled object. Here is what we are making:
It is a free moving ball made of triangles.
To begin you will need the ability to make tall triangles with square bases (blocks will only place on surfaces of identical shape and the standard ground surface is made of squares). You gain this ability using the workbench found in the pyramid immediately outside the spawning area. This is the shape in isolation:
You will also need a quantity of materials to build it (approximately 100)
I know this works using bonestone. It is possible to use a small amount of clay if short of supplies, but a pure clay ball appears to be impossible (though you can make a wheel shape with it)
Screenshots of the building process:
First create a wheel by attaching triangles to each other on the same surface.
Then create second cycle by attaching triangles to each other round the wheel's equator.
Add a final wheel though the poles.
Finally, to make this a physics enabled ball instead of a static object, simply dig the ground away from the base.
Proof of concept:
Video tutorial on creating a moving wheel / ball: