"...what should I draw to help me improve my skills? Should I do anatomy studies, or just draw whatever comes to my mind?"
Both. Anatomy is a major aid to anyone attempting to enter the field of art. Drawing what comes to mind, as with any other use of one's imagination, is definitely important to developing "creativity" or the ability to "see" that which doesn't exist.
"Should I make a sketchbook even if I not very good at drawing?"
You should make a sketchbook ESPECIALLY if you're not very good at drawing, and use it/post as often as possible. It's the proper way to solve problems, gain/improve hand skills, and get advice on any items that cause you a problem.