Forget making dreidels out of clay (does anyone actually do that?) These would be fun to make with students, or as a Chanukah party activity.
How about Shin Newtons?
Cut the corners from one end of a fig bar to form a point. Insert a thin pretzel stick into the other end. With frosting, outline the cookies and write the letters.
Or Marshmallow Dreidels?
These are made out of squared marshmallows (trim sides to make the square shape) dipped into nonpareils. Attach nonpareil chocolates for the tip with a dab of melted chocolate. Thread them onto wooden skewers.