I came across these palettes many years ago and since then they have often accompanied me on sketching trips, and especially on holidays abroad. They are easy to make, and even easier to carry, and will fit into a pocket or tuck into a sketchbook. All you need is a brush and water (or even a brush filled with water - see the watercolour equipment section) and you are ready to paint!
Here's how to make and use a 'Pencil Palette'
Cut a small piece of strong paper (use watercolour paper or cartridge paper for this) to fit inside a sketchbook. Use watercolour pencils to lay down a palette of colours. Rub the colours down as hard as you can to get as much pigment down as possible.
Your palette should look something like this when you've finished.
I keep mine in a piece of folded tracing paper so that the colours stay clean and so that they also don't rub off onto any other drawings in my sketchbook.
When you want to paint from the palette, just use a damp brush to pick up any colour you want. The palette is small, handy, and can be easily packed away into your sketchbook and carried in a pocket with no mess.
Here's my sketchbook with a palette tucked away in it's protective cover at the back of the book. The painting was done using the palette.