You can use the stationery which you like most. However, you may want concrete examples, so I introduce what I use.
I use 50 mm × 38 mm sticky notes. It is sold by 3M and called “Post-it.” The 50 mm is the horizontal width. I use 0.7 mm gel ink ballpoint pen. It is sold by Mitsubishi Pencil Company Limited called “Uni Jetstream.”
Some people prefer to use a thick felt pen (1 mm ~ 2 mm) in large 70 mm × 70 mm sticky notes. I also use the combination when I put the notes on a whiteboard, and several people see those notes. It is because if I use 0.7 mm pen, it is hard to read from distant.
Doing the KJ method by multiple people is more difficult than doing it by yourself. I think you should use it alone at first.
When you do it alone, you do not need to use large pieces. Small pieces can be arranged a lot in a limited space. So I use small pieces and a thin pen. This size pieces can be pasted 25 pieces in the landscape A4 paper and 28 pieces in the portrait A4 paper.