My kids never did the autograph books at WDW - and we've been taking them there so many times for many years! A photo of them with a character from time to time was enough for our family (but we do have the PINS...)
If they want to do autographs though, I'd buy the books at WDW. I don't think they were very much $. Plus they are the Disney ones! That would make them special I think. They sell pens also. Just don't get started on those pins (kidding, they are so cute and my kids loved trading with cast members, I love that! It got them talking to the cast members and it was nice to meet people from all over the world).