Another helpful tool for colored pencils is getting a decent sharpener. We get the good ones at the art store. I like the ones where you can replace the sharpener blade, but only the really awesome art stores stock those. The Kum brand from Germany has one attached to the lid of a little glass bottle to catch the shavings.
Correction: the watercolors (and block crayons) are made by Stockmar.
We pick up whatever sketch and watercolor paper is on sale, and I bought a lot of it. We buy the heaviest stuff for the wet-on-wet, lighter (and cheaper) paper for the watercolor pencils.
I have fond memories of my mother's encouragement for my love of drawing growing up. She was such a miser in so many areas, but she never, ever complained about the reams of newsprint sketch paper I plowed through. I don't buy the newsprint, though I really should encourage that. "Real" artists practice on it--if only I can convince the girls.
ETA: It looks like my favorite sharpener is made by another manufacturer using the Kum-style sharpener and I have Kum blades for it. Still, good stuff. Looks like the replacement blades are available online.