First of all, you must ask yourself, what is energy?
This is one of the rare examples when your grade/primary school definition of energy is the correct one. Energy is the ability to do work and the total ability to do work is always conserved. It is nonsensical to speak of things being "made of energy". Nothing is made of its ability to do work.
Your other question is "when does something count as a particle?" The actual requirements are a bit technical. Basically, something counts as a particle when it transforms in the simplest possible way when viewed by different observers. That is, a particle is an object whose rules for relating its properties in one frame to its properties in another frame are as simple as they can possibly be.