Any recording device will work, but for the clearest quality, go digital.
The guidelines I follow are; 1.maintain your composer(things may get freaky)
2.write down your questions beforehand,so you dont forget them
3. wait at least 10-20 seconds between questions
4. use your 6th sense to record at the right time, like when the hairs on the back of your neck stand up
5. always use headphones when playing back what you've recorded
I hope this helps you capture a EVP,
I find it to be more exciting than frightening.