The material. Some coloring books offer the ability for the child to simply run over the surface with the pens or crayons provided, and it will turn out to be the right color regardless. Some are more like paint books, and some have magic marker surfaces and come with markers that will not show up on any surface but the specially prepared book pages. Choose the book that best suits you and your child. If you are worried about markings on the walls, then dont select a pack of basic crayons, get something that uses special crayons. If you want your child to exercise their own creativity and not have to fit in the lines or color schemes planned, get basic pages. It is up to you.
Coloring in pages that are specific for coloring. I have found a few websites that have pages to color that are downloadable. You can also try a resource store for teachers. These specific pages for coloring are pictures or drawings of a variety of design that you alone enjoy. You can make your own coloring book with these pages. After coloring the designs you can write your own narrative about how you feel. Write how the design itself and the colors you used relieved your stress. You can even write a short story about the design if you like, this is your project and it is for your eyes only.