I use colored pencils, but from an inexpensive artist's colored pencil set. Same thing, pretty much. I've used regular lead (graphite) pencils, too, for things like gun barrels, panel lines, and wear spots on machines.
I use artist's pastel chalks, too, instead of AK or Tamiya products, and grind them myself. It's a set of earth colors, a series of browns, and a brownish yellow. It was less than ten bucks at a local art supply store. I use the ground chalk for things like exhaust or blast stains, or for dust and dirt on vehicles. I've made mud with it, too-some ground-up chalk, a drop or two of water, and a drop or two of liquid soap to bind it.
I've also made my own rust, out of...rust. I use scouring pads in the kitchen. When the soap is gone, I'll put the pad in a pudding or yogurt cup, and let it rust. When I get a color I like, I grind it into a powder and store it in a jar. I can apply it with a paint brush.