Cool, I've got that one too. I really should finish building it...
I have a bit of experience with garage kits and model work, so I'll do my best to answer any questions.
You'll want some epoxy glue to assemble the parts properly, but that usually dries pretty slowly, so you might need some clips and rubber bands too, to keep things together while it dries.
For epoxy clay (green stuff), you usually mix two equal parts until the color is smooth and even, then stick it on and shape it. Use water or oil on your tools to prevent them from sticking while you work. Depending on the type of clay, it can be sanded more or less well after it has dried. Usually brown/gray stuff cures harder then green stuff.
As you've found out, some parts will need pinning, and it can be a bit of work, as the resin can be hard.
First, clean all parts as you are doing. It's also a good idea to wash them carefully with water, soap and a soft brush, to remove any grease from the molding process. Otherwise the paint and/or glue might not stick properly.
Always dry fit parts before you assemble with glue so you can see if it fits together properly or needs more cleaning or filing. Sadly, resin parts are sometimes warped, and will need some additional work. They can usually be bent back into shape if you hold the part under hot water a while and then carefully bend it back (but it's quite brittle, so be very careful). Or use a heat gun for larger parts (and be even more careful with that).
Always keep doing continuous dry fittings as you assemble to see what you can piece together at once, and what you will need in parts to be able to paint everything.
I've only assembled the skirt and legs so far on mine, but it was a bit of work. The skirt needed quite a bit of trimming to fit together, and then to make it stay together for the gluing...
The legs were no big problems, but as you can see I made two pins for fastening the foot to the bottom plate. I drilled those all the way through the shoes and into the foot for maximum stability. I don't remember if I pinned the hip joints, but I don't think it's necessary if you use epoxy glue. I will put a pin through the waist though, since the hip and torso will be assembled with the skirt in between them.
After this, I will need to fill in the gaps in the joints and sand it down smooth.