Yes, they do. This grey one is called Sculpey Firm and it is harder to work with in some ways because it takes preparation and I prefer to add polymer oil to it to make it more pliable. Also (like the name suggests) it is 'harder' to shape things with it. Other types can be so soft it is like trying to make something out of chewing gum.
As a general rule I noticed the harder to use clays are also the strongest when they are baked.
When I say 'unbreakable' I mean once done I couldn't take a piece with a wire armature and snap it with my own hands, it was too hard. And when I dropped them nothing happened. But if it was a sculpture with arms and legs and stuff I'm sure it would still have stress points and would damage if you kicked it about. And if you took a hammer to it, I suppose.
Beowulf's horn is made from a different type which is even stronger than Sculpey Firm. I needed to I thought because the horn itself is a big potential weak point on the sculpture and has no support of its own.