Place your furnace on the ground. It’s a bit like a tiny, grumpy microwave that only cooks rocks. Add fuel (coal, wood, or a stolen piece of your neighbor’s fence), and then toss in your clay balls.
Wait a few seconds—or go fight a creeper while you wait (just don’t forget you’re cooking). When the smoke clears, you’ll have three beautiful bricks sitting in the output slot. You feel like a master builder already, don’t you?