I went to Target and bought 2 white pillowcases (cheap ones, you don't need to spend a fortune. They don't have to be white, either. I was actually looking for pink but couldn't find any)
Wash them first, (the markers stay better/longer if they are washed first)
then stick them in a ziploc bag with sharpies or fabric markers. On the bag or on a note inside the bag, write which characters you want to sign the cases; like all princesses or villians. Or you can have all the characters signing it. Also put your name and room number on the bag. Drop off the bag the first day at guest services. Come back to guest services on the last night to pick them up. I heard sometimes your room attendant will drop it off to your room, so if you want it to be a surpirse, make sure you put a note in the bag saying you will pick them up; not to deliver to the room.
This is what I learned from reading all the posts, I have not actually done it before, so if I got any of this wrong, someone please post..