As a modeling medium, polymer clay is very versatile and instructions that work for a variety of other products work equally well with oven bake clay. For example, this great fondant unicorn from a Polish cake decorating site translates beautifully to clay. The only change I would make would be to use a little wadded foil and a toothpick for the head and then inserting the toothpick into the main body. This gives your piece a little more stability and reduces the amount of clay and baking time.
Depending on the scale you make your unicorn you could skip that step – if the whole piece is under an inch for example. If you make it larger than 2 or 3 inches consider using foil for the body and a toothpick in the horn as well.