PocketMatrix

In my case, I use madtracker to create music. You can check it out by going to http://www.madtracker.org/.

madtracker says it will only 'import' mods - or am I missing something?

Yes, madtracker can only import mod files so you can't use this tracker to write protracker modules. I'm using as my reference tracker the modplug tracker so I'm only sure that what you write with this tracker will be playable with hekkus. My musician use the old Fast Tracker 2 to create protracker mod but I'm quite sure that it don't support mod with more than 4 channels (it support more than 4 channels only if you write a xm module but hekkus don't support this standard yet).

So let's say I'm making a mod. What kind of software would I use to make it? I mean to do the actual composition? Do I compose in a mod application, or use another application then convert it?

You can use any of those mentioned apps, MadTracker, ModPlug Tracker, etc, to compose your music.