I use a small 3-ring binder (maybe 5x7?). I use the format form The Tightwad Gazette. Since Walmart is generally the cheasest around, I start with their prices. Then go to the warehouse store, then the chain (cheap) natural food store for items we need that are not avail. at WM. Or if there's some other store that I know has the best price on a certain thing, I'll enter that, too. Like here, a very over-priced grocery chain has a store brand of natural PB for only $1.79/lb, so that goes in.
Here's a sample page from mine:
Walmart Smuckers $2.24/1# $2.24/lb
EarthFare Bulk $3.99/lb
Ingles Store-Brand$1.79/1# $1.79/lb
This book is too big to fit in my purse, so only comes out if I'm going to a new store or the discount grocery, etc. Although my calcutor stays in my purse all the time. As well as a pen. There seems to always be a scrap of paper in my purse, so if I'm somewhere I need to record prices, but forgot my book, I jot them down on the scrap paper and enter them in the book when I get home.
For me, it's a slow process. We are new to the area, so I'm having to start my price book all over. I only have about 20 items and 1-3 prices for each (mostly only 1!). But every week, something new gets entered, and it'll be more useful!