Pick up a package of Sharpie permanent markers at Staples or Office Depot or other office supply store. The "twin tip" version gives you both a thin line and a somewhat fatter one. And Pioneer is right. Don't use a label. You'll have fun with the burner. Enjoy.
Labelling CD-Rs
I just bought a CD burner (Pioneer PDR-05). The instructions for the audio CD-Rs say to label with a water-based marker only, and DO NOT apply adhesive labels. The water-based markers I tried just sit on top of the plastic and wipe right off. Anyone have a specific suggestion?