Pencil should be okay as most are graphite and not lead (remember kids are using these so you can imagine the risk to them if pencils were still using lead).
My concern with pencil is that you have to apply some pressure to make a mark and on a soft shell/leathery shell that might be disruptive to the egg. I've used a sharpie marker and done a quick dot with not ill effects thus far.
* a friend of ciliatus fans :)
:Alot of breeders do use pencil, but who knows if the lead is being absorbed through the shell or not. Just try not to disturb them after setting them up. :-Mike