• Skim through some of the papers in order to get a sense of how students responded to the assignment; you may find to your surprise that many students interpreted the assignment in an unforeseen yet (in retrospect) understandable way, and you'll have to adjust your responses accordingly.
• Check immediately for the thesis so that you have a reference for the rest of the paper.
• Use a pencil, so that you can erase when you have second thoughts. Red ink may recall high school traumas, so why not welcome your students into college with pencil, a brave new world of recursive erasure?
• Keep marginal comments to a minimum (students tend not to read them). Instead, place a number in the margin each time you find something worth commenting on; then, at the end of the paper, type out on your computer an introductory comment that highlights the two or three main points of your response; finally, type numbered comments keyed backed to the margins of the essays. This encourages students to reread their work in light of your comments. 
  Don't scatter buckshot all over the paper--a student can only hear so much criticism. Make yours count. If a paper is riddled with errors, carefully mark up a typical paragraph, identify the kinds of errors, and send the student to a handbook, the library, or the Writing Counselor's Office at the Learning Center. Editing the entire paper is a waste of your time and will not help the students learn to correct mistakes on their own.

Philosophical Suggestions:

 
• Take the student seriously--assume that the paper is a significant effort and not a first draft.
• Respond to the ideas expressed--agree, argue, point out contradictions, ask questions, and discuss the text that is the subject of the paper.
• Go beyond impressionistic response to analysis--is the idea developed logically? Is there an argumentative edge? Is the text used accurately?
• Eschew the overly general ("Your argument is not convincing." "Your writing needs improving." "Your organization was weak.") Show where and how.
• Suggest strategies or procedures that will help the student next time. ("After your first draft, write out your thesis statement and then check to see if every paragraph relates to it." "Be sure in the future to back up your claims with textual evidence." "After finishing each chapter, write a précis while your memory is fresh so that you organize the material more quickly when it comes time to write your paper.")
• When making your final comment, remember that few if any students ever complain about too much response to their ideas (they may think they receive too much negative criticism).
• Mix praise with advice in your final comment.

Be prepared to explain and justify your grading. Indeed, tell your students what you will be looking for and how you will evaluate it. A writing guidelines sheet is useful for this purpose, but you need to talk about your expectations in class as well.