You can also use different grades of pencils to change the tone of the work - also known as blending (an introduction to art techniques, glossary).
To accomplish this sort of blending you use different pencil grades.
The best example of shading and tone transition that I've seen is in The Art of Pencil Drawing, by Gene Franks.
He uses an H, F, HB, B, 3B, and 5B pencil to achieve a full range of tone. Start light make the H go as hard as you can comfortably get it then pick up the F and overlap continue as such with remaining pencils and various hand positions/techniques while drawing. Practice is recommended in his instruction of achieving tone. He says, "practice this as a musician would practice scales."
Personally I use and have used as many grades as I can get my hands on. I tend to stay with graphite, turn away from the F's, and by far consider the 12B pencil to be my all time favorite. Dark, soft, hard to find.
Graphite, I read once, is supposed to be water soluble and create a sort of "water color" look to the pencil when water is applied. I've never quite got the look or hand of it. I find that a blending stump is most effective and comfortable when trying to soften up a sketch. That or my fingers.
Q-tips, erasers, water, and tortillions have been unpredictable; no matter the paper typesupport.