Casting in clear/tinted resin is another option, albeit more expensive and difficult. Basically, you sculpt the flames/water in whatever modeling compound you normally use, then make a mold of it, and cast it with the transparent/tinted resin to get the desired effect.
I've used transparent plastic sheeting (from toy and soft drink packaging), cut into flame/water shapes and arranged in a 3-dimensional fashion, in the past as well. The water spout for this elephant figurine was made using that method:
You can sculpt water and flames as solid, opaque objects as well, but transparent/translucent ones usually look better. Here's an example of sculpted solid flames (yellow base coat with some orange/red dry-brushed on top):