I actually bought the wax crayons that Gorton sells specifically for engraving. They suck. Way back in the 70s, I used to work at a place that engraved skis and they had these crayons that really worked, but my guess is they had some kind of cancerous solvent in em, because you cant seem to get them anymore.
The suppliers of engraving machines and materials sell an enamel paint- but I have always just used One Shot, which is about the best enamel paint you can get these days, made for signpainting. Its pretty pricey, but it comes in a couple dozen colors, and it can be bought in 1/4 pint cans.