If you are drawing your own images, I suggest creating the book first and then drawing the pictures directly into the book. I choose to lightly draw in pencil and then to go over the picture again in a Sharpie pen. I'm not a great artist, so I use Ed Emberley's drawing books (look for them at any bookstore or library) for inspiration.
If you are looking for internet images, some good websites I've found are http://www.kids-n-fun.com/coloringpages/Allekleurplaten.aspx and http://www.nationalgeographic.com/coloringbook/archive/. There are many more great websites, and you can do a quick search for coloring pages to see what is out there. Once you have found some good images, you can print them directly onto copy paper or lay them out in Microsoft Word or a publishing software to create a double-sided book.
You can create a sturdy book cover for your coloring book by cutting up cardboard boxes, reusing a file folder, or recycling old cereal boxes. Dig through your recycling bin to see what might work. Staple, sew, tape, or punch holes to bind the pages together.
You can create themed coloring books, such as alphabets, animals, things that go, or any thing else your child might be interested at the moment. These can also be great gifts if you cover the book cover with pretty wrapping paper.
This is the cover of the coloring book I created for my daughter. I used an old file folder for the cover and plain white copy paper folded in half for the inner pages. I took two batches of 5 folded pages and sewed the two sets of paper into the cover with strong, thick thread.
The first two pages of her coloring book. I chose to go with an alphabet theme. The bird image was copied from Mo Willems' The Pigeon Finds a Hot Dog.
