As it is described (W. M. White, Geochemistry):
Siderophile elements have an affinity for a metallic liquid phase and chalcophile elements have an affinity for a sulfide liquid phase.
What is the exact difference between them? It just seems to be the same thing as sulfide liquid must contain metals as well. As far as I know, siderophile elements are: Fe, Co, Ni etc and chalcophile ones are Ar, Mg, Sr, Ba etc.