Identify the parts you want to use in your sculpture. You can use any metal parts that you find: diesel engine parts, bolts, etc. For instance, to make a dog, the head could be a diesel engine part, the body might be a rocker arm, the neck and legs could be made from bolts, and the tail might be a diesel engine clip.
Cut the metal parts in order to fashion them into the right shapes. Use a jigsaw to do this. Note that it isn't always necessary to cut the metal parts, you can choose to use them as they already are.
Arrange the parts into the shape you want them to make, and weld them together with either a TIG welder or a stick welder. For example, if you want to make the dog, weld the diesel engine part (the head) to a bolt, which will become its neck. Weld the neck bolt to one end of the rocker arm (the body). The end of the rocker arm with the head and neck of the dog is now the front side, and the back is where the tail (or diesel engine clip) will be welded. Lastly, weld the leg bolts to the underside of the rocker arm.
Use a buffer or sander to clean the welded areas so that there are no sharp edges, and so that your metal sculpture is nice and smooth.