Starting out, I had no idea what to do either.
It basically comes down to a lot of research, and trial and error. For example, if you're trying to sew a certain kind of fabric, you might need a different stitch than normal. You can learn this by reading up a sewing book or doing a bit of searching online.
If you're trying to do something like shoulders, again, do your research. These forums are an awesome tool for figuring out various methods. Many of the threads will have pros and cons to each type of material. For shoulders, you can use foam, leather, paper mache, cardboard, plastics, etc. It usually comes down to a) what you feel most comfortable using and b) what you can afford.
It will get easier as you get more experienced. You'll find things that you like to work with, and some that you think "I'm NEVER using that again".