You can get around the problem by sealing your sculpt with shellac. Personally I like to use Klean Clay or Industrial Tooling Clay which do not contain sulfur. I don't like to paint my sculpts with a sealer because it takes away from the texture and personality of the sculpt. You'll also see the same phenomenon when people try to use clay to plug leaks in molds. Liability issues keep me from selling them to you.
Laws regulating pyrotechnics vary from state to state.
A license backed up with training, a test and experience. California has the strictest laws. I recommend you skip the little blood bags and bullet hits and use a blow tube or paint ball gun. Graphic blood letting often backfires anyway, especially in a student film, it psychologically pulls the audience out of the drama, you want to keep them in the story. Think about it, if you need graphic violence to shock your audience you are not doing your job as a story teller.