I did end up using the Glad Press n Seal and it worked well for me. I did a 5 inch border with a 3.5 inch Greek chain so there wasn't a whole lot of stitching which I think made it easy to remove. If it were a smaller intricate design, I'd opt for tissue paper such as Golden Threads.
As to how to remove the sharpie lines left on the wrap stuck under stitches - I recently bought the best tweezers I could find. Revlon Ultimate. I keep them in my sewing drawer now. They were VERY helpful in grasping those little bits left behind.