How do I do different shades with a gray pencil?
Try doing crosshatching:


Make sure your pencil is always sharp. [The point of a wooden pencil becomes dull after several strokes, so I suggest using a mechanical pencil instead (HB 0.7 works great).]
Don’t smudge your strokes. (If you do it unwillingly with the palm of your hand, then put a piece of paper underneath it.)
Strokes should follow the shape of the object.
Make the stroke in the same direction instead of forwards and backwards.
Apply more or less pressure when you make the strokes to achieve
different shades and if you need an even darker shade, then make a
crosshatch.
Do the crosshatching at a slight angle (about 20o) and not at 90o
If you want some very fine and gradual transition, then make sure your strokes are not too far apart from one a another, and that you rely more on overlapping several layers of strokes rather than relying on pressure.


Here are some good examples to illustrate my points.