1. Shape determines fabrication & material: Flat objects (including faceted, folded) can be best prototyped using paper/boards/sheets. Simply curved objects (cones, cylinders) aka single curvature surfacing & developables can be also done using paper. Complex forms aka double curvature requires either complex fab such as rapid prototyping, molding, pressing etc or rationalization (eg take a sphere cut it in layers, cut out flat sheets, glue, sand ie downgrade to previous option).
2. Drawing: You can use either a mesh 3d editor: sketchup, blender, or NURBS / subdivision surfacing: rhino, solidworks, maya (download demo where available). This is only for the intuitive part of making the form. Even though simpler I would suggest avoiding 2d apps as they tend to be tough ie misleading for physical objects (fine for plans and pcbs)
3. Fun: code it! You need OpenGL + you favorite language. Generate a polyhedral model, flatten it send to printer, assemble. Or just write out an STL file (super simple text format) and send it to a 3d printer (by far the easiest method for noobs). If you want cheep use z-corp powder puff machines (ceramic-ish), if you want an actually functional prototype use SLS (plastic)
4. Find a product designer or architect (the building kind) and work together =)
hope that helps
My prototypes usually start out on engineering paper, get a few quick 3D CAD drawings, then get made up in polymer clay as a form for a mold for shell casting. The 3D step is new, and hasn't eliminated the clay stage, where I still catch problems and see new opportunities that the computer doesn't bring out for me.
So I'll make a solid item out of polymer clay, then press that into more clay to make a negative mold. Then I make a shell casting by putting mold release on the negative form, pouring in some liquid acrylic, and wobbling the mold in my hand to let the acrylic build up a shell over the whole surface. There are other ways I use, too, but this is a favorite quick and dirty method.
There are books on plastic casting that teach the basics, but there's nothing like hands on in a class with an instructor, even if all you're doing in the class is learning the basic sculpting skills and tools.