Go to the local craft store (such as Michaels or something) and pick up a small 4x6 size scrap book or photo album. Also make sure you get a "Sharpie brand" marker. They sell a real big fat one that works great for the charecters. I have only seen the real big ones in black but the smaller/regular version comes in many colors now.
I attached the marker to the book with about 12 inches of ribbon. It prevented the pen from getting lost, yet had enough 'give" for the charecters to use.
i like theses pen cause if the page gets a little wet they are less likely to smear and also won't fade. I set up the book before handing it to the charecter so they are signing a the right hand page i usually skip a page between signatures so i have a page where i can put a picture of DD with the charecter or as what usually happens a post card of the charecter if DD won't get that close for a picture. It is a great way to start a memory album!