These extra sheet of paper will stop your coloring being affected by the texture of the surface you are working on. Colored pencils will easily pick up even the smallest dents, divots or wood grain textures. For smoother coloring give your page that little extra cushion! It is also useful to add paper between your page and the next when you are using a coloring book, the paper protects the design underneath from being damaged.
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.