They are really the same thing with the exception of the type of chocolate that is used. Modeling chocolate is made using pure chocolate which is made using cocoa butter while candy clay is made using compound chocolate which is made using palm kernel oil. Candy Melts is a type of compound chocolate that is readily available. You can use any brand of colored compound chocolate to make candy clay. I will use the terms modeling chocolate and candy clay interchangeably! You can read more detailed information about the different types of chocolate and modeling chocolate on my  Chocolate Making Tips page.