• Air-drying modeling clay
• MDF, cardboard or Foamcore for bases
• Sand and/or static grass for the bases
• Chaos black, snake bit leather, vermin fur,and bleached bone paint and Flesh wash.
• PVA glue

First take a piece of your modelign clay, and roll it into a sausage between your palms. If the clay seems a bit dry, and will not stick to itself easily, add a little water.
When the suasage is about 8mm-10mm thick, place it on a smooth, hard surface, and roll it gently to flatten it. I like to use the rubber covered handle of my modeling knife for this, but you could use somethign else. A wooden rolling pin is not a great idea, as the clay will get into the grain and you can't get it out.
Now cut pieces from the flattened roll about 2cm long. Using your fingers, round the edges where you cut slightly. These are your sand bags. For added realism, you could use a knife to score lines down each side representing the seams in the bags. I don't bother personally, but it will make them look really cool.
Now oyu need a base for your sandbags. A simple sand bag wall can be based on a piece of MDF, cardboard or Foamcore 12cm long by 2cm wide. Remember that modeling clay contains moisture, so it will shrink as it dries. It will warp thin cardboard, but it has no noticable effect on 6mm MDF.
Although the modeling clay does stick to itself when it's wet, it will not stick when dry. So when you are placing your sand bags, you have to glue them down with PVA.
When the modeling clay and the PVA on the sand bags has dried, you can glue sand to the exposed parts of the base.
I always spray paint sandbags, but if you don't have a can, just paint everythign black. Next, paint the sandbags with Snakebite leather, or a similar desert tan color. When this dries, drybrush the bags with bleached bone, or a simialr light tan color. Now it's time to add some shadows. Use flesh wash to paint along the joins between all the sand bags. This will make them look more 3-dimensional, and it also helps make each bag stand out from a distance.
The dirt on the base can be drybrushed with vermin fur, then bleached bone. Of course, you could have a completely grass base simply by gluing down some static grass.

OTHER IDEAS:

Sandbag walls are all very well and good, but the humble sand bag can be used in so many ways! ONe of the best looking is a sandbag or sand bag re-inforced dug out. A dugout is basically a hole in the ground in which infantry take cover. I like to make concrete dugouts out of foamcore and polystyrene. Simply cut out four pieces of foamcore. One is the floor of the dugout (12cm by 6cm), two are the side walls (3cm by 6cm) and the last one is the front wall (3cm by 12cm). Simply glue the sides and the front to the outsides of the base to form the dugout. Next, get a piece of 3cm polystyrene, and cut a rough oval out of it, about 6cm bigger than the dugout. Bevel and carve the edges, and cut a notch for the dugout. Glue both the polystyrene 'mound' and the dugout to a base, and cover the mound with sand. Paint the foamcore with texture paint. WHen everythign is dry, add sandbags aroud the front of the dugout. I tend to have two layers of sand bags.
The basic dugout can be modified to include a heavy weapons point, or if you make a really big one, it can become a Berm (That's a dugout for tanks)
Sand bags can also be used to make improvised strong points, such as my Gothic Ruins.