In my blog “Shady characters”, I described the use of graphite powder for shading, using a variety of paint brushes. I also use an array of tools for shading and blending that you may well find in a makeup cabinet, or at least in the aisle of bathroom stuff in the supermarket.
The other options for blending are the off the shelf products from your art store. These include paper stumps, made of compressed paper, and tortillon, made from tightly rolled paper. These tools come in various sizes and can be used with variable pressure to achieve smooth blending results on paper. The picture shows that similar results can be achieved with the use of these tools. My personal preferences are the use of make-up wipes and tortillons. Stumps and tortillons can of course be cleaned by removing residual graphite by rubbing against a sanding board, or by rubbing the graphite off on scrap paper.
The tool that I certainly would not recommend is your fingers, as the oils from your skin will affect your results. Enjoy!