Pilot makes these colored mechanical pencils (Pilot Color Eno), which I stumbled upon at my local Staples. Many of my students (including myself) are visual learners so color-coding dynamics, sequences, trouble-spots is just a treat for us. Since they are pencils (and not pencil crayons), they are erasable - just in time for music festivals and exams!
September 3, 2020 update: The coloured pencils are available on Amazon: