Well, actually I never had any skin-rash problems with milliput. I believe this applies mostly to people with a very senstive skin, or allergic reaction on this stuff. I personally never use gloves, they hinder a lot when sculpting intricate details.
As for the properties of Milliput, it is amazing stuff (be sure to get the "superfine" white version). Appearantly it was originally designed as a heavy duty filler, for filling holes in ship hulls, reservoirs etc. It hardens by the reaction of it's two components, not by being exposed to heat or to the air. This means it even hardens underwater!
Be careful though: don't mix up to much at a time: it begins hardening after an hour/two hours. The reaction (which causes the hardening) can be slowed down if you put the milliput in the fridge (or in a freezer). You can speed up the proces by putting the milliput NEAR a heat source (an oven will be too hot!). By using the latter method it's possible to get the milliput rock hard in half an hour.
After hardening, the milliput can be drilled, sanded, sawed... etc.
And like Kalamos said, it can be thinned down with water, just like natural clay.
I'll look for some pictures of my past projects to show you.