Buying a new model from Cuthbert's Costumes allows you to purchase models for which you have no corresponding character and the models are locked to Race/Class. I bought a Dwarven Model - the chunky chap with the hammer after using the Any Dwarf filter. I then found out that I couldn't use him in the Dwarf Warrior slot. I realise now that this is to probably prevent a level of gamesmanship in multi-player - i.e. you could have a weedy Elf Wizard figure on the table but have a Dwarf Warrior character, which would make for a nasty surprise, but could there be a way to use different figures in the Class Slot in single-player where it makes no difference? My other confusion was that I thought that you were changing the appearance of a member of the party that you were running, not adding to a set to be used globally. Once I went to the Inn to recruit a new Dwarf Cleric, I see how the appearance selection works.
When you're in the figure shop, you can also drag the figures you've unlocked and drop them on a character sheet to change that character's appearance (assuming the figure is the correct race and class for the character).
Its easy to see why a lot of the priest avatars are tempting fighter ones, they look like paladins ;o Hopefully this will be rendered irrelevant with many new avatar additions to appease all class aesthetic desires
The first part of your answer was exactly what I was trying to do and the second part of your answer is my 'problem' - it was only after I 'bought' the figure I realised I couldn't use it.
Yeah, that Dwarf with Warhammer figure was the very thing I was looking for to fit in with my back-story for my Party.