It has gloss finish Should i sand the finish off or can i draw on top of it (I'm going to use so called "paint pens")
you could do both but if you sand the finish (as in the glossy overcoat) you could recoat it with a gloss and it would last longer
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If I remember correctly, you can use water based sharpies or something like that on top of a paint finish, and then clear coat over that.

Also there are various whiteboard and blackboard finishing paints that seem like they could be cool to use. If I were you I'd go ask the Ultimate Painting and Refinishing thread, there is a link in the Essential links thread. Be sure to include what you're using for paints, pens, clear and other agents, as details are important.