We did autograph books the first year and they were easily forgotten. Our second year, we bought a photo mat. Each character signed it or wrote a message and when we got home, my daughter picked her favorite picture, and inserted it into the mat. We framed it and hung it on her bedroom wall. Of course, this is easiest to do if you are pushing a stroller so you have a basket to store it in!
I love the pillowcase and hat ideas also!