If you start with a ZBrush primitive, or use ZSpheres or ZSketch to create your model then you will need to ‘skin’ the model so you can sculpt it. Your model must be a polymesh before you can use the sculpting brushes. For the ZBrush primitives you can do this using the Make Polymesh3D button. For ZSpheres and ZSketch you can use the Adaptive or Unified Skin options.