Sketchbooks don't have to be physical, they can be digital.
There are many ways to do copies. Like others have said, you can do exact copies or you can take one or a few aspects from a piece and just focus on that.
While it can be helpful to use the exact medium of the person you are studying, ultimately, you can use whatever medium you want. You can make a pencil sketch of someone's painted characters. You can do an oil painting of a digital piece. You can do a digital recreation of a watercolor painting. It just all depends what your goals are and what makes sense for the aspect you are studying.
If you are wanting to work traditionally, but are using a digital painting to study from, it's not necessarily difficult to mimic a digital illustration in a physical sketchbook. You can use alcohol markers, watercolor, gouache, acrylics, oil, etc. You can use any of these mediums on paper (you may need to prep the paper for acrylic and oil).