To create a statue, you first need the soul of an innoc... wait no, any soul goes, really. Slay a few monsters until you get an Entity Vita. You can also use player heads to make a statue honouring the person you just killed!
Remember, though: Bigger statues require more materials. If you want a golden skeleton statue, for example, you will need to place two golden blocks on top of each other, and then shift right click any of the two.