are you using a pony as a base? if so i'd approach it different. If you arent, then its just deciding whether you want to paint the sculpture or use different colored clays. Otherwise its all preference and practicality. If you dont have an oven handy, get an airdry clay like premier or creative paperclay or apoxie sculpt. If you dont like waiting for things to dry go with sculpy and bake it!
If you are using a pony as a base then you need to find a clay that will stick and stay and not ruin the pony in time. i personally love apoxie sculpt. It seems to stay on the ponies the best and longest. Sculpy works too, but it can chip off easily later depending on how thin it is. And baking a pony can be frighting at first! I use both for different affects, if i want to repaint the whole pony i do the first, because the apoxie is not very colorful. If i want a match i work with the sculpy, mixing colors to match the plastic.