I've used a variety of different sculpting materials on ponies in the past year. Here are my thoughts on the ones I have tried and maybe it will help.
Cloud Clay - This is actually a good air dry clay and depending on what your using it for you can get some good results. it takes very fine details, but you can't really sand it. You have to smooth it down with water which can make a gooey mess. Once you let it dry all the way through it paints well. This stuff is best for sculpted hair and things with points such as horns and spikes. even when dry it has a give to it that can protect it from snapping and breaking. Make sure to store in an airtight container. Also it doesn't stick to the vinyl of the ponies. You can get around that by putting a coat of mod podge on it first. I use matte and it works great. Otherwise sculpt the items and just glue em on
Crayola Air Dry Clay - Yeah THIS was a waste of money. I thought being crayola it would be a decent product and for kids and its intended purpose...yeah okay its fine. It even came with a resealable plastic container. Stuff sculpts the same as cloud clay so I figured it would be the same in the end. Problem came with painting it. I put a coat of paint over it and the paint actually started to degrade the material. If it was just some little animal or independent item it wouldn't be any biggie. Problem is when you put the painted piece up to the pony you can see a massive difference in quality. Sort of like styrafoam against smooth plastic.
Apoxie clays (green stuff) - This stuff is great. It sculpts well, dries with no shrinkage and takes details like a dream. It has enough give when it dries that tiny points don't snap in half a heart beat. The main problems come with cost. The price is really quite expensive. I can get it at a local gaming and hobby shop, but its still usually out of my price range. Like the other clays so far it doesn't stick well to the plastic while sculpting, but well enough. It also is quite sticky to work with. If your just playing around here and there, this may not be the best choice.
Sculpy - This was what I first used. I thought it did well, though it wouldn't stick for the life of me and most parts usually had to be glued back on. This caused problems when sculpting noses or areas that needed to blend seemlesly. There is some shrinkage, but not a lot it makes a big deal. In thin areas it can crack as this stuff gets hard and the vinyl remains soft. I has some issues even when sanding. It didn't like to get as smooth as I liked. All in all, not bad, but not great.
Fimo - This stuff is currently my favorite product. Its what I used to sculpt Luna's wings. It sticks well enough when wet and once dry, my god this stuff is like cement! It ain't NEVER coming off...yeah I know double negatives...anyway. The suff smooths down with sand paper so well you can't tell where pony ends and sculpt begins. It bakes on a low temp of 230 so the ponies are quite safe as well. The shrinkage is minimal if non existent as I noticed no issues when making a g4 male nose.
All in all its my favorite stuff so far. Best is its cheap! One block is only about 2 bucks. I use the fimo light personally.
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For now she waits patiently on my shelf o' ponies.