I use the inner from a cheap ballpoint pen that you get from a Catalogue shopping store (in the UK Maplins, Argos or Index!), you know, the kinda place where you mark your selection on a form & give it to the assistant to get it for you. Theyre about half the length of a standard pen, I wrap mine with about 3ft of duct tape.
That said, a pencil is also useful, I rather like golf pencils or the very slim ones that you often get in the spine of pocket diaries!

(Like the idea of dipping the tip in wax, though!)