Here's a step by step photo tutorial for making roses. It was written for a gumpaste cake topper but the technique is exactly the same for air-dry clay. However, for clay flowers you can use glue, wire and other inedible products that probably wouldn't be used with gumpaste creations.
Usually the best air-dry clays to use for making flowers are the softer formulas like DecoClay, Hearty Clay, Martha Stewart's Claycraft and similar clays which are often sold pre-colored. Cold porcelain is also great for making flowers. I love the idea shown here of using spoon to shape the petals.
Step 2 shows thinning the petal edges using a ball-end tool on a layer of foam.
Step 4 shows wrapping the petals around a pre-formed ball or teardrop shape attached to a wire or stick. You could also use a small Styrofoam ball.
Step 3 and a few other steps seem to be missing from this info graphic, but I think you'll do OK.