One of my favorite tools for shading is an everyday mechanical pencil. This came about mostly because I don't have a pencil sharpener in all the places around my house that I tangle. Using a mechanical pencil sidesteps the issue. I like the .07 size the best, and I use "B" lead, which is softer than the HB. Having a little sharp point makes it fun for me to get into all those yummy ditches and dents created by the tangles.
Scouting the local office supply store for a supply of these pencils, I came across a value pack - yippee! They were so inexpensive that it was well worth trying, even if they all fell apart. Paying attention to nothing other than the price, it wasn't until I got home that I discovered how awesome they really are. Not only do they hold up well, but they are called Z-Grips. Wondrous.
Every time I use them I am reminded of what the 'Z-Grip' really is: not a grip at all, but a gentle holding of a robin's egg.