Frankly, the only reason I even have Apoxie is because it doesn't need baking. *shrug*
Comparatively, both work just as well.
You do need to warm up/knead Sculpey for a bit before it's nice and workable, and if it cools down too much it becomes difficult to work with, but you should be able to warm it up again by cupping the palm of your hand over the area. It's totally reworkable until it's baked, too, which is something of a plus.
The down side is, until a section is baked, you have to be very careful of where your fingernails are going when adding details on. Nothing increases the "aaugh!" level of sculpting like discovering a fingernail imprint in the middle of some detailing that took hours to complete.
Magnet or no, be sure to have a layer of cardboard between the pony and the baking sheet/whatever you're using for a baking surface; hooves don't like hot surfaces.
Also, it's a good idea to bake the head along side the body, even if you don't have anything on the head; that way, if the body shrinks a bit from the heat, the head shrinks along with it. You can bake multiple times, if needed, just make sure to keep an eye on the temp and times; it can vary from one block of clay to the next.
Have fun!