Alright now this is probably one of the most important aspects of working with polymer clay (besides making sure your item looks good). I have to admit that I had so much trouble with baking my clay when I first started. I either burned the clay or it turned out rubbery and undercooked :(
When baking your projects I would suggest purchasing a toaster oven, although it should be fine baking in your normal oven I purchased a toaster oven just to be safe as the fumes from the clay if burned can be harmful. Also I have found that a toaster oven is much more convenient than using a full size oven each time. Toaster ovens, although not dirt cheap, shouldn't leave a hole in your pocket, since you don't need the top of the line toaster oven for the purpose of cooking your clay. If I recall right by toaster oven cost right around $30-$35 from amazon.com.
Second, when baking your clay always start at a LOW temperature, most of my clay suggests baking it at 275 F, but I just bake my clay at around 250 F for a little longer. Baking your clay at a lower temperature will allow you to cook it for longer without it burning. As well, some ovens bake at higher temperatures than others and that could cause you to burn your clay. You can always adjust your temperatures as you see how your oven bakes, but I will always suggest cooking at a lower temperature than your oven suggests first.
BE CAREFUL: Some colors of clay like red, white, blue etc. will cook faster than others, watch these colors so they don't change colors on your and get darker.
After baking your clay, let them cool before glazing them (this will help the glaze work better)