The basic foundation of the collar, which is the hardest part of the costume to make, is important. You can make tubes and stack them up, but if the basic form of the collar isn’t right it will be uncomfortable and won’t contour to the body. The collar is a combination of Thai neck rings and Masaii collars. I found a pattern that is free that should help you construct the bottom layer, that is, the layer that supports the multi-colored rings. Here is the free pattern. I recommend making a collar out of a stretchy, preferably lycra/spandex fabric and layering rings over it. You could use tubing as @ETpro suggests or you could use lycra/spandex and stuff it and layer it.
It depends how much work you want to put into it and how comfortable you want it to be and also how much sewing skill you have.
In the center back you need to make it open and for that I highly recommend velcro. Something as form fitting as this collar cannot pull over the head. Sorry if I state the obvious. :)
Lycra/spandex comes in many colors and is readily available anywhere.
The air clay as you say will work for the bracelets and anklets and could even be applied to the base collar that I am suggesting. But the lycra/spandex will work better in my opinion because it is more flexible and comfortable. Feel free to PM (private message) me if you need more help! This is my field and I can help you solve the technical problems you may encounter. Good luck!!! You must be pretty buff (if that term applies to women,lol) to consider such a skimpy costume!