That's all you have to do, heat them up until they glow.  In the process you will learn that firing clay glandes with moisture in the center will make them expolde like red hot bombs, laying them on the ground will cause them to wick up moisture and crack and just how much wood it takes to heat up a pile of clay glandes to glowing.

Seriously, you build a raging bonfire and let it burn down, this dries out the ground for a couple of inches and helps stop breakage.  Next, rake the coals out in a circle, exposing your dry ground.  Put down a layer of broken but fired clay glandes.  Put your unfired glay glandes, (that you put in the stove overnight at a temp just below boiling) on the broken clay glandes.  This will keep them from wicking up moisture.  If you are using plain mud, they will start to get dark as the organics in the clay start to char.  When they stop getting darker, start adding fuel to the coals in the circle until the fire starts burning, then keep adding fuel until the pile of glandes are completely covered and you have another raging bonfire.  Let the fire burn down, come back and get your glandes the next day.  Drop one in a bucket of water, it won't crumble if it is fired.  And place your dry glandes around the first bonfire to pre warm, you want to get them hot enough that you can't pick them up comfortably with your bare hand.  I start mine about a meter out and move them closer, keep turning them as they get closer, you want to get them pretty warm, this gets any water out and don't set them on the ground while waming, use a sheet of metal.

Thanks guys - I didn't know it was such a process for the clay!  If you do a good-sized batch though I think it would be worth it.  I make charcoal with a pit method, and I wonder if somehow I could heat the clay with that..

The mortar/concrete ideas sound good too.

Has anyone put dimples in their ammo to try to duplicate the aerodynamics of golf balls?