Don't know if they still make it but Larva Lace used to make latex for doing the segmented bodies you're after. They look great for big stoneflies or czech style caddis patterns..and take a sharpie well.
You definitely want latex and not thin-skin for this. The thin-skin is translucent and not nearly as durable as the latex...and won't hold the ink as well. The stuff you want is considerably thicker than a glove and opaque.
Remember you can smash wound lead to shape with a pair of flat-jawed pliers if you're trying to create a thin or buggy shape to your patterns.