Found this on eHow - just remember it's your fabric, so decide for yourself if you want to try !
Pencil Marks on Bedding: Rub your white eraser over the pencil mark. When the mark is barely visible, take a cloth that has a little laundry detergent on it and wipe the spot until it disappears. Rinse the cloth out and go over the spot to remove the residue from the laundry detergent.