begin with outlines in very light grey leave the white areas white!!! (it's difficult to get back the white of the paper.) work from light to medium grey - then and only then add the dark grey and only last the black.
blend with the chalk itself versus your finger for a better effect. You still should be making marks that describe the surface of the form. If the form is round, make round marks -- if it is flat, like a table make straight marks that describe the plane.