As it says on the tin, this is my first experience of the 11+ so take what I say with as much salt as you want.
The CSSE pack of papers included a VR practice test (not an actual past paper) which said rough working could be done on a separate sheet of paper. That said, some of the questions themselves are begging to be written on - why else provide the alphabet for the code questions? My take on it is that it's probably acceptable to write on the question paper and that a separate sheet of paper is provided as an option. I would think that the answer sheet should only contain answers.
The CSSE letter advised bringing a pencil, pen, eraser and ruler. No mention of paper so I expect that will be provided.
I'm sure someone who has been through the process and actually knows the answer will be along shortly. It's a really helpful site