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.
Brighter results! Applying less pressure to the pencil will produce a lighter color, so how do you get that darker hue of the color on the page without pushing too hard? The answer is layers. Once you have mastered coloring between the lines with a nice even shade, you can take the same pencil and go back over that coloring again to provide a second or even third layer of color. Applying extra layers of color will remove some of the white grain that was missed in the first layer and bring depth to your color. Mix up the direction you color each layer to produce a smoother finish.