I put up a video on YouTube here of the process I go through when making my own terracotta clay body, using nearby clay. (Apologies for the quality, the video was filmed on an old digital camera, but you get the idea!)
First, I dig up the clay, dry it, break it up with a sledgehammer and seive it through an old bed frame. Then I put it into buckets and saturate with water.
I 'blunge' it with an electric drill attachment and seive it again through a mouli seive. Then I pour off the excess water once the clay has settled. I put the clay on plaster bats to dry, then process it through a pug mill. (You could also wedge it by hand if you want). Finally, I store it in plastic bags.
Another YouTube video I like: The Potters of San Marcos, showing a more traditional method of preparing clay from raw ingredients, by the potters of San Marcos Tlapatzola in Oaxaca, Mexico.