Whilst most colored pencils are wax based, some brands use an oil based lead, like Faber Castell's Polychromos. These pencils are very soft to apply color so will cover every fibre of the paper with their bright hues, but they are also very expensive and should only be considered if you are looking to take your art to the highest level.
Then you can also create a texture effect. Just cover the drawing with a light stroke first then follow with rough, think strokes to serve as details . texture. This can also be applied when you're using colored pencils. And you can also create a light, smooth look with crayons. Just color your drawing with very rough and thick strokes (this might make the drawing look messy at first) then rub off the excess color with cotton or scratch paper.