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.
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.