um any pencil really, usually mechanical pencil I don't know much about the lead. As for the shading it's just done on photoshop as well, I just use the pen tool to add shadow.
um, well I just use the paint tool like I do for when I normally color the image. I just choose a shade thats darker, so I use the pen tool to create the section then click the "fill section" option with the color of my choice