Answer:
I usually wear a yellow coat. I usually have a dark head. I make marks wherever I go.
When they are caught, they are thrown away. When they escape, you itch all day.
You use it between your head and your toes, the more it works the thinner it grows.
If you break me, I do not stop working. If you touch me, I may be snared. If you lose me, nothing will matter.
What goes in, but never through? I've got some and so do you. We might lend one, or even two, but only if our trust is true.
What sphinxes employ and players enjoy.