I just used regular sidewalk chalk because I was being spontaneous and just decided to try it spur of the moment. Apparently sidewalk chalk gives a little less colour and is a little dustier. The best is to use artist's pastel chalks. Next time I will buy some and have a go with those.
It's a pretty simple process. Just bath and towel dry, then rub the chalk on the hair you want to colour. Someone suggested twisting the strands together and that worked a bit, mostly I just laid sections over my hands and rubbed away. Gloves would have been good but washing thoroughly with soap and water a few times after does the trick too. I haven't bathed her yet again to see if all the colour will wash out with one shampoo or not. Apparently lighter hair might take a couple washes, dark hair usually just takes one.