Barbara, I've tried to make them also, but out of polymer clay. I found a website(I'm not sure the exact address, but I searched dogpile for 'ocarinas' http://www.dogpile.com (cute search engine.)
But I've always wanted to make them out of polymer clay, but it hasn't worked yet. I found a page where someone has made them out of polymer clay, so now I know it's possible!

Jen, back to cleaning. Break is over! ;-)