I would not do it with the commercial stuff, but it really is just a type of wheat flour and salt based modeling dough.
They do not recommend baking it and tell you that it would likely crack as it dried out. I can only assume they have tried doing it.
If you want to try though why not make your own playdough.
Here are some recipes that can be baked:
http://www.kinderart.com/kitchen/baking.shtml
http://www.preparedpantry.com/playdough.htm
http://www.easy-child-crafts.com/play-dough-recipe.html