1) Empty the egg. Poke a hole in the top and bottom with a pin or small knife.
2) Blow out the egg. A warm egg will empty more easily. It also helps to break the egg white and yoke by poking the pin in.
3) Wash or bleach the egg.
4) Pre-bake it it the oven for at about 150 degrees for about 15 minutes to dry it out. If there is any moisture left in the egg it will poke out the clay where it covers the hole. If you plan on carving out that part of the shell, you may not want to cover the hole at all.
See this post about how to make the color blend or just mix up a few shades and make each spiral a different shade.
If you want to break out sections, make a little hole and remove a small piece at a time. Or you can carve out sections with an exacto knife.
The following eggs were covered with millefiori cane slices. I've added links to the tutorials for these designs.
Since mica powders don't always work well with cane work, this tutorial includes a recipe for gold effect.
This one features the complex cane tutorial.