The random transitions of ion channels between conducting and non-conducting states generate a source of internal fluctuations in a neuron, known as channel noise. The standard method for modeling fluctuations in the states of ion channels uses continuous-time Markov chains nonlinearly coupled to a differential equation for voltage. Beginning with the work of Fox and Lu, there have been attempts to generate simpler models that use stochastic differential equation (SDEs) to approximate the stochastic spiking activity produced by Markov chain models. Recent numerical investigations, however, have raised doubts that SDE models can preserve the stochastic dynamics of Markov chain models. We analyze three SDE models that have been proposed as approximations to the Markov chain model: one that describes the states of the ion channels and two that describe the states of the ion channel subunits. We show that the former channel-based approach can capture the distribution of channel noise and its effect on spiking in a Hodgkin-Huxley neuron model to a degree not previously demonstrated, but the latter two subunit-based approaches cannot. Our analysis provides intuitive and mathematical explanations for why this is the case: the temporal correlation in the channel noise is determined by the combinatorics of bundling subunits into channels, and the subunit-based approaches do not correctly account for this structure. Our study therefore confirms and elucidates the findings of previous numerical investigations of subunit-based SDE models. Moreover, it presents the first evidence that Markov chain models of the nonlinear, stochastic dynamics of neural membranes can be accurately approximated by SDEs. This finding opens a door to future modeling work using SDE techniques to further illuminate the effects of ion channel fluctuations on electrically active cells.