Graph Paper does work well - and you can also opt to use colored pencils(or hi-lighter if you're just that edgy  ) to signify special rooms - you can create a key/etc/etc. Another option is just to Letter-code each room, then add a "Letter Key", but I prefer numbering the rooms and using color for the key.
I also suggest larger square graph paper as opposed to smaller square graph paper.
I also use a new page of paper for the same area any time you go in an "up", "down", or special direction(I.E. "stairs", "cave", "ship", etc), then putting them in a logical order and stapling them in the upper lefthand corner.
It's all about how OCD you are willing to get. : ) I'm OCD about mapping, but I don't always map on the first go around, unless I know it will help me figure my way out through a maze, or some other quirky part of an area. Then, I map the other stuff in large bunches when I don't feel like crawling, bashing, or anything doing else that's boring and makes me want to slit my wrists.
It's all up to you, though.
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