Should I change materials?

If you're not planning on molding/casting your doll, then it makes sense that your doll should be made of a sturdy, durable material. I don't think anything is completely break-proof, and even very strong materials can chip or break if dropped - but perhaps give a try to using something like Apoxie Sculpt. It's a lot harder than Sculpey and paperclay and can usually hold up to a lot more abuse and play (paperclay actually does okay for dropping in my experience as the fibers tend to hold it together fairly well, but tends to be less durable for wear over time).

Go ahead and finish the doll you're making, though, in whatever materials you're comfortable with, and then just put her somewhere safe. It'll be worth the learning experience, and your next doll will be that much better for it.

 

Maybe if you make the clay thicker it will help. I usually put extra clay on the inside walls to thicken it up without losing the shape I already made.
I'll be putting some sort of coating on mine when I finish them to protect from water damage. But I'm not sure what, yet.
I've used Sculpey before. If you use white and paint it, the paint peals off easily at the joints, but a different coating might help.
On one doll I used the translucent(flesh tone) color and it turned out pretty well aside from a few cracks.
Good luck!

 

I second HystericalParoxysm!
You could finish her for experience and keep her safely, coat her in a good primer... Or in a more experimental plunge, you could use a layer of something sturdy over her body, at least on the parts more succeptible to breakage. In my first attempts at bodies, I used crappy paperclay for volume and eveloped it with Apoxie. While Apoxie/Epoxy is not indestructible, it's very hard to break!
In the future you might see her differently and who knows, might be a good thing you kept her in paperclay? Revisiting old projects for tweaks is also extremely satisfying.
Probably not very helpful of me to say this, I'm just putting out thoughts. I hope you figure how you prefer to finish her C: