Depends what its for... When I was at school, Mum used to make her own. Print my name off a million times on paper, cut them out, then use sticky tape to put them on. It was great till I started chewing my pencils!!!
When Mum and Dad were together, for my pencils, Dad would shave some of the coloured paint off the end of the pencil using scissors or a knife to expose the wood, then Mum would write our names on them. Was great as well, except for the pencil chewing problem I developed, and then the obsession with sharpening both ends lol