white wine vinegar is considered best But Sarsons make special pickling vinegar (which comes in nice jars which you can use.) Red onions can be puckled - the key with onions/shallots etc is 1) trim off tops and tails 2) plunge into boiling water for 20 seconds, then rinse off with cold. 3) Peel underwater!! 4) cover with sea salt for several hours or over night 4) rinse off thoroughly. 5) add brown sugar to vinegar 6) Pour over onions in jar and maybe some peppercorns, red chillis, cloves or whaever sounds good 7) Make sure onions are totally covered by liquid. 8) store in cool dark place for 6 weeks at least.
All sounds faffy but the plunging and the salt etc will help preserve the crispiness of the veg.
All this is theortical mind, as I am pickling for the first time this year, so will let you know in 4 weeks' time
There's a nice Delia recipe here. For ordinary pickled onions malt vinegar should be OK according to my trusty Katie Stewart cookbook but you must salt/brine the onions for the time required - otherwise the mixture will be too dilute and the onions will not keep well.