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.
Get even! Producing a nice even color with your coloring pencil is all down to pressure. Push harder on your page for darker coloring, applying little pressure will producer a much lighter color. It is tempting to put lots of pressure on the pencil to produce the darkest color _ don't do it! Too much pressure will likely cause you to break your pencil leads, produce a scratchy finish to your coloring and give you less control. Instead, try applying your pencil with a little less pressure and use small circular motions with the pencil to get an even finish.