I shade my kits using several different methods - the pre-shading technique mentioned above, oil washes and glazes, airbrushing after the skintone is applied, and my favorite technique, shading with pastels. Note that you must use CHALK pastels and NOT oil pastels. Chalk will stick - oil will not.
I've used a number of different pastels over the years, but the best I've found are Faber Castell. They're moderatly hard to chase down, but you can find 'em at most good-sized art supply stores or at Dick Blick on the interweb. Take a small sheet of sandpaper and rub some of the pastels into a pile. One of the beauties of using pastels is that you can mix them. Here I've taken a sienna color and mixed it with an orangy-peach.
From The Making of Future Girl