Hi there Wuvme,
I recently picked up Zbrush 3 and it is wonderful and powerful and I still have yet to check
out all the cool stuff you can do with it. Some things you can do very easily, while others
are pretty counterintuitive. However the good new is there is mass amounts of info out there
http://www.pixolator.com/zbc/index.php That is the link for Zbrush Central which is like a one stop shop for all things Zbrush.
What I have found so far is that there is very little info out there on using Zbrush for
sculpties. At the Zbrush Central forum there are a few posts relating to the concept
though most of them are SL people asking for similar info and by the responses of the some of the regulars over there it was news to them. Admittedly that was a while ago.
But the whole sculpted prim phenomena seems like a pretty new thing still so it seems
that the best thing to do is learn what the various programs have in common.
Interesting post here-
http://www.zbrushcentral.com/zbc/showthread.php?p=396850 She has made some very cool avatar stuff, also has pics.
It is a bit inconclusive yet the OP who is also a SL'er promises a tute on her pipeline from
Zbrush to wings, might be worth keeping an eye on.
I have been hoping that Zbrush would provide an exporter or even better a way to bake
rgb textures like in Blender. It actually has so much stuff that I suspect that they very well
may already have a way to do that in there somewhere. One of the default materials
that I have are rgb colors. Weather that would work in a similar manner when baked
is another question. I haven't spent quite enough time on that aspect yet.
However there is some good news, you can start a model in Z and then export it as a obj. file and then import it into blender. Zbrush will put a very nice default uv map on objects
created in it which blender recognizes just fine. It is a good idea to make sure your Z model is on the lowest level of sub-D before you export it, as Z on my machine can toss around models over a million polys while blender gets the equivalent of heavy lag at
just over a hundred K polygons.
In the tradition of defying convention I also started off with a Cube then in Blender I
deleted the vertex at each pole which causes holes in your model but SL fills them pretty
smoothly, much preferable to the bunched or 'tied ends'.
Then I just did some quick smoothing and grabbing with all symmetrical axis selected
in sculpt mode smoothed it out with a few levels of the 'multi-resolution' dial then
baked to rgb.

The sculpt in the pic here is one I made real quick for the purpose of this reply. I was about to assert some things then decided that I better test it and make sure I knew what I was talking about.

Bye the way when you snip out the pole vertices it will leave some blank strips on the top and bottom of the uv map so you just need to scale the remains back to the edges so you do not leave blank areas.
Also after you first import your model into blender you need to convert your model to a mesh in object mode before proceeding with other operations.
Now thinking back on your request I think you asked how you can use Zbrush to enable
sculpties this is just one way that can take advantage of Z's awesome tools.
The other great thing with Z is with texture creation you can create a texture on a high
poly version of your model and save it for later use on your sculptie.
Clearly the sequence I describe here sort of leaps over a number of requisite issues
such as being familiar with blender and baking sculpties from there and includes some steps that will take a bit of study. But yes it can be done and in fact this is only one of the
available pipelines. This definitely is not a step by step tutorial and I apologize for that
I think the amount of info needed is quite large in that respect. But from an overview it
would be.
-Familiarize yourself with the basics of both Zbrush 3 and Blender
-Learn to bake sculpties in Blender
I recommend the Amanda Levitsky tutorial as that is the one I learned on.
http://amandalevitsky.googlepages.com/sculptedprims I hope some of this helps.
