The method that was told to me, which seems to work very well (Thanks Snowy and the rest!) is to just rub the chalk across some sandpaper or a nutmeg grater. Pick up the dust with a dry brush, and "Paint" it on the parts. If you don't like it a little water will take it right off.
Since there is no real adhesion, it won't stay if the model is handled much. Also trying to seal it on with Future or other sealant tends to just blw it off, at least in my experience (which is very limited). There is a thread right now on the "Techniques" forum about sealing it, and one or two mentioned that they have been able to though. Flat surfaces tend to hold onto it a bit better