TCNPhil was kind enough to send me instructions on how to make a cross for my Blair-in-flight-suit action figure... I think everybody out there might be able to benefit from these instructions, so check 'em out!
Go to your local hardware store and ask them for a product called epoxy putty. It's a long strip of blue and yellow putty, probably rolled up in clear plastic and sells for about $4.00 bucks (this will last you several sculpting projects, or Blair pilgrim crosses, whichever comes first). You knead the yellow and blue together to make green. A small piece should do. Then, you can use the painted on cross as a guide for sculpting a real 3D cross right onto the figure. For the sculpting you can use anything that's handy: a pencil point dipped into nail polish and allowed to dry, any kind of pointed tool should do, even a paper clip. Something a little broader, but still small, to smooth some areas down like the flat tip of a fountain pen, you get the point. It's really not hard. Give it a try on some scrap at first, then try in on a spare shelf display figure rather than your collector figure. When I find a figure, I'll show you. Oh, and don't put oil paint directly onto the dried and hardened putty (about a couple hours), you should use a barrier first.