I found candy, but it's literally inside the magma sea, surrounded both above and below by magma. This may not be what you meant by me finding HFS, cause I won't be able to get THAT unless I almost completely drain the magma sea.
You cannot drain the magma sea effectively because it refills.
That Candy vein should be more extensive, and should go up into the rocks above the magma. Can you see all sides of it? It will be at least connected to the semi molten rock below it. Be very careful when you begin to mine it, and if you have seasonal or yearly auto saves enabled do it just after a save in case you need to save-scum (which involves killing the DF process and loading the auto save). If auto saves are not enabled, save before you do it.
Also, how big is your map? If it's default size (4x4 embark tiles) you will usually have more than one, up to four being fairly common and rarely five or more. My record in one 4x4 area is 8.
This is what I do to mine Candy:
When you send out a drift to mine it or locate it (a drift or level is a horizontal mine shaft that doesn't breach the surface, sorry
) have a 1 or 2 z drop in the drift with a tightly closed hatch over the stairs, because building destroyers cannot destroy things above them. Find the top of the vein and start there, and dig down. One layer at a time. Move the excavated ore to a stockpile high in your fortress before you begin the next layer. If you are feeling bold, you may put a hatch separating each level from the level below.
Can magma creatures (non-vermin ones I mean) travel through screw pumps?
No, but they may be able to destroy them so use (magma safe!!!) fortifications.