Do you mean watercolor pencils versus watercolor paints?
If so, I use both. They can be equally "messy" depending on who is using them and how much practice that person has. Personally, I am not messy with either, but I am an adult with plenty of practice with both mediums. My DD (age 9) is messier with the watercolor pencils because she has less practice with them. She also gets more frustrated with them because she hasn't figured out exactly how much pressure to use with the pencils and how much water to use to make them come to life, so to speak. She mostly uses them as colored pencils right now and has me use the aquapen to do the next step. She's learning.