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During the Middle Ages, charcoal and lead were used to make non-permanent marks (often lines to keep writing neat or sketches to use as a guide for painting). Modern "lead" in pencils is a graphite/clay mix.
Colored chalk is mentioned in Ultimate Equipment, although no price is explicitly listed (personally, I'd go with 1 sp to 1 gp, depending on how rare/expensive the pigment used to color the chalk is*). Grease-pencils are basically the same thing, just using tallow instead of chalk.
*- certain hues required very expensive pigments.