Latex is obviously your best bet for realism, but that is fairly complex. A brief guide is found here.
That site also sells packs to allow you to make appliances or full face masks - they're pricey, in the $300 range, but would probably give you the best (most life-like) results.
There exist specialised glues for attaching appliances to your face, which come off with alcohol but won't 'sweat' off.
The actual makeup is applied to the latex and to your skin, using sponges to blend the colour into your skin and hide the edges of the appliance.