Here's a smiley, slinky critter you can make from clay and wire.
Roll 6 or more balls of clay for the caterpillar body and head. String them onto a piece of wire that's long enough to hold them all in place, then bend the body into the shape you want. Refer to page 2 of this PDF for a helpful diagram.
Insert the antennae wires into the head and add the antennae balls to the other ends of the wires.
For eyes, press the small purple balls into the head. Press the white balls onto the purple ones, then add the tiny black balls onto the white circles for pupils.
Use a toothpick to shape the mouth.