It is believed that the company The McLoughlin Brothers (en.wikipedia.org/wiki/McLoughlin_Brothers) invented the coloring books. They published a book called The Little Folks' Painting Book in collaboration with Kate Greenaway in 1880.
You should pick soft triquetrous pencils for a small kid. It is sufficient to have a set of six basic colors. When coloring, try pronouncing the name of each color, this helps the baby to remember them.