I've had great luck with three options, (arrived at through much grief) -
1. Pop-points. Go to Wal-Mart (etc.) in the school section. They come in a blisterpack of about thirty or forty. When the lead gets dull, remove it, pull off the end cap, and stuff the used one down the end...it forces a new point up. These work great and are practically indestructable in seawater. I keep a couple in my wetnotes.
2. Art stores sell pencils that don't incorporate any wood. The entire pencil is made of graphite...like one huge 'pencil lead'. I cut these in half, and use them on my wrist-slate. These are more expensive than the pop points (e.g. about $4 for 3 of them as opposed to about $4 for 30 of them...) but they provide a much darker and thicker mark on a slate. They're also heavier, and sink when dropped. (

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3. The carpenter's pencil described above by Dave Zimmerly. Same, I cut a couple in half and attached them to small slates with dinky rubber tubing. The saltwater tends to take the paint off them and dry them out, but I have two or three that have lasted for a couple years now, and at under $2 apiece that's pretty cost-effective!
Out of all the many other options I've looked at, these three continue to work for me flawlessly, and one of them may prove to be what you're looking for as well.
Regards,
Doc