Although I've never tried baking a pony, when polymer clay was my go-to for sculpting, I would bake at the lowest temperature my oven would allow, for a longer period of time. It takes more patience and you might need to watch it for longer, but that helps prevent cracking, and I imagine would be better for the pony as well. It might be good to do a test pony you're not attached to, watch it super close, and from there determine if you're comfortable going this route.
If you end up feeling too nervous about putting something like that in the oven, there's also the option of an epoxy clay such as "Magic Sculpt." It's about the same price range as Sculpey, a little more sturdy, and you can skip the oven all together.