Ponies actually bake surprisingly well
I've always baked mine after removing their hair and before any painting. The only problems I've ever run into are with G3s, sometimes the foot with the magnet would sort of lift off of the magnet (but I was told that can be solved by having the pony stand in water while it's baking) and when I tried to sculpt a loooooong dragon neck onto one of them, the weight of the clay on top of the softened plastic caused her front half to melt :/ Pretty much, as long as you're not sculpting something that weighs too much and you follow the low heat setting for baking, you should be good