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.
For a much lighter effect, you can mix a small amount of soft pastel with baby powder and apply it with cotton balls. This technique is usually used for gradient backgrounds. Lastly, enjoy your work! You can keep it in your portfolio folder or hang it on your wall. There are still a lot of ways to use coloring materials in order to give life to your drawings. Just don't be afraid to explore.