Quality Matters. Not all colored pencils are the same. Cheap colored pencils tend to have harder wax leads and less pigment which mean they produce less vibrant colors and have a tendency to leave some white spaces uncovered in the grain of the paper. Because the lead is hard, cheaper pencil leads often have a tendency break and if the lead breaks throughout the length of the pencil you can be left with something that is unusable.
Many crayon artists (you can find a few online) use solvents to soften their appearance. It can be a wonderful look but, personally, I love the pixilated look the crayon creates when applied just as is. Look at the art examples in this post _ you can see the speckled look crayon has when applied in layers. This adds to the realism, especially when creating an out_of_focus background, such as in these two images.