The clay will shrink, there's no way to fire something with metal through.
Here's what you do:
Make your pieces (without wires in them, just sculpt the bones). At the joint ends, poke holes with a nail, or anything really, make sure they go in far enough so you can anchor something in there later (you'll be using glue, so you don't need to make it tight)
Fire your clay
Go to the hardware store and get small screw-in loops, or some heavy wire you can make your own loops out of.
At the joint end of each bone, attach one of the loops. Use glue to fill the hole and keep them in place-I suggest E-6000 (which you can get at any craft or hardware store) You can either attach the loops to eachother, or use another wire to join them together.