Many photographers use different techniques when photographing animals at twilight (time between sunset and dusk). The challenge is that either you overexpose the image so that your subject is visible which blows the highlights in the sky – doing this you would lose those amazing colours during this part of the day. Or you could underexpose image, keeping those colours but instead your subject turns out to be too dark. So what do I usually do in this situation? Look at the image below.
With this image of Floppy Ear/Mandleve, I overexposed slightly to correctly expose for the lion which in turn blew out the sky which I knew I could recover during post-processing. So in Adobe Lightroom I dropped the highlights and used the graduated filter, dropping exposure and adding a bit of saturation, on the sky downwards. This allowed me to improve on the sky so that it looked as it actually appeared on the day without making it appear unnatural. I also used the graduated filter from the bottom up and increased the exposure slightly just so that Floppy Ear and the green grass surrounding her is also correctly exposed.
There are many different ways you could photograph at twilight. This is just the way I find best for myself and the method I generally use once the sun sets.
Go on, try something different!