Yes - do Sharpie markers - not the very thin ones, but the thick ones work very well. Characters can not hold very thin pens, The fatter the better. The Sharpie markers do not bleed through the WDW autograph books.
Any color you like is fine.
I made our autograph book out of card stock 4" by 6 " paper.
I added character stickers for the character to sign - TS places with the known characters who show up.
I also have extra pages in the "book" for other characters we find to sign.
I used card stock so after our WDW vacation, I can place the signatures in our scrapbook. I punched one hole in the left top corner and attached a ribbon through the hole to hold the "pages" together.
I cut the cover of the autograph book from a plastic folder and added some stickers. To make the back sturdy, I used a thick piece of cardbaord and covered it with disney themed wrapping paper.
The homemade autograph book did cost me more than the standard WDW autograph books (about $7) - but our home made one will do better in our scrap book.
Have fun getting autographs !
It's one of the fun things to do at WDW.