How can I blend soft pastels without removing too much colour?
I'm not sure why it is lightening: is the paper showing? Does the paper have enough 'tooth' or grip to begin with? How hard are you pressing into the paper and pastel? I've found gentle pressure with fingertip is enough. With softer (more expensive pastels) they tend to be the easiest to blend. If you have not tried a high-quality pastel like Schminke, then you are in for a huge treat: they have a creamy soft consistency, which make blending a real joy. Just buy one or two and see. 

I have sometimes used a piece of soft foam to blend soft pastel as well, but this tends to drag the pastel off, the reverse of what you want. Perhaps try a few experiments on a scrap piece of paper (the same paper as the actual work). 

Several other things to consider

Have you tried layering, using a fixative or hairspray? This allows you to keep working on an area, after the paper is 'full' of pastel. Once the pores or 'tooth' of the paper is filled, it will lose its gripping ability. This approach allows you to keep building layers.(Although it will slightly darken/flatten the luminous quality of the soft pastel.)
Sealing the surface is also useful for adding a final highlight when there is already as much pastel as the paper can hold.

For something different/fun, mix pastel with oil

I have also used linseed oil to mix colours with on the paper itself: pastel is after all, mainly pigment. This eventually seems to dry out or spread itself through the paper.