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.
Crayon Tinting. Using crayons for tinting embroidery is the most common technique. It's easy to learn and most people have at least a few crayons around. Crayons produce a bold color, but you can also work more gently with them, resulting in a lighter tint. Just like coloring on paper with crayons, varying the amount of pressure and layering your coloring creates some very cool shading. That shading gives your embroidery texture and dimension, and it's fun to use with modern or vintage designs.