We have tried all different clays for sculpting at home (i.e. without a kiln to fire them!) and we've settled on Sculpey.
It's truly a versatile material! We've used other oven-bake clays, and they just don't stay together as well as Sculpey does. You do have to make sure pieces are not just set on one another, but blended together as they ought to be in sculpting. Otherwise, they may not adhere well in the baking process. Another plus is that Sculpey is white, not gray, tan, green or sand-colored, so you can add paint with beautiful results. We usually top the acrylic with a clear Sculpey glaze finish as well.