Rangeball,
I use no special type of clay and since I set it up in Sept I've had no problems with it drying out or sticking to my arrows. I was worried about it freezing, but even during a week in the 20's, it worked fine. The clay does sick a little to the broadheads, depending on how many holes and crevices the head has, but it comes right out because it sticks to itself more than it does to metal.

I actually have my bucket in a large plastic tub that I have filled with old rags and then covered with a piece of burlap. If I happen to miss the bucket, the arrow hits the clothes. It takes a little cutting to get the broadhead out, but not too much.. Also, I like to shoot field points into the clothing target since it is so easy to remove them.