It depends - what will you make the mould from, and what will you cast the finished puppet in?
I usually sculpt in plasticine ( a non-hardening, oil basedmodelling clay), make a hard mould in a good quality plaster like Ultracal 30 or Hydrostone, then cast the puppet in a flexible material like foam latex or Platsil Gel-10 silicone.  The idea is - soft sculpture, hard mould, soft cast.    But if you were casting a hard prop, you would be better off with a mould made from flexible silicone.  As long as one part can flex or squish, you can get the cast out of the mould, even with a few minor undercuts.  If both materials are hard, you have to make several pieces so there are no undercuts, or it will lock in.  You won't get the mould off without breaking something.
Roma is a very good plasticine,  my favourite for sculpting.   Like all plasticines doesn't ever permanently harden, but will get more firm as it cools, and softer if it is warmer.   But it contains sulphur, so don't use it if you will be casting in a platinum cure silicone (Dragon Skin, Ecoflex, or Platsil Gel-10).   It will stop the silicone from curing.  If you will be casting in foam latex, it's fine.  For silicone, use a sulphur free plasticine like Chavant NSP or Klean Klay. 
Or, you can sculpt in Super Sculpey and not bake it so it is still soft - that way you can still get it out of a hard mould.  Personally I find Sculpey difficult - it sort of drags and changes shape, unlike plasticine - but some doll makers do beautiful detailed work with it.