As ManiacQuilter said, do NOT use the blue pounce - it is a BEAST to remove!!
I have used the purple pen (which fades pretty quickly, so get to it FAST), the blue pen and most recently the Crayola washable markers. Crayola is very good... and not very expensive.
And WHEN I mark it depends on many factors (such as "how soon will it get quilted?", and "hand quilting or machine?"). Sometimes, I will load it on the frame with NO CLUE of what I want to stitch... let it hang there (I float my tops) until inspiration strikes, and then I may mark it right there in the frame. Other times, I know what I want to quilt, and it may be very complex, so that gets marked before it's loaded on the frame (or hoop if I'm hand-quilting).
Try various things and learn what works best for YOU. As others have said time and time again, there are no quilt police.