Pond in natural clay

I have very heavy clay soil, but I am very high above the water table.  My well is 185'.  I really want a small pond and I don't want a liner.  Is it possible to just dig a hole, somehow pack the mud down, and have a pond that is simply filled by rain water, or will evaporation leave me with a hole rather than a pond for much of the year?  I could direct some additional rain water that direction if need be, or top it off with the hose once in awhile, but would prefer not to do that.  I don't have pigs or ducks to help with sealing, but as I said, I have heavy clay soil.  Thoughts on sealing?    

The best way to answer your question is for you to dig a test hole/depression to see how well it holds water.  
If the clay is heavy enough and deep enough, you might not have to do anything.  
Sealing methods can be as simple as stomping around in boots, or hiring a big roller- it really depends on how big you are talking,
soil mix, etc.
I know on my own property, soil types, layers, distance to bed rock, etc vary quite a bit.

Agree with Chris - dig some test holes in the location where you want the pond. fill the holes with water and see what happens. You can also put some water in a pail and check on the evaporation rate. You will get a better reading if the pail is sunk in the ground so it is kept cool.