Stumps and Shading Materials.

In the world of graphite's drawing, there are different ways for doing some shades.
First of all, the Stumps and Tortillions, the two from below in the photograph are stumps in different measures. The stumps are like piece of paper used for shading, they work really well, and they're the best for graphite.
Then, we have the Blenders, like the Prismacolor Colorless Blender, even though this is for blend with color, some people use it for graphite pencils. I don't think they're the best for graphite because they're made of wax, but for colored pencils they're the best.

And then, we have a simple soft brush, some people like to use only the brush to do the shades and blend, like the first one from the photograph. The brush is also helpful when you're erasing, so with the brush you move away the little garbage on the drawing.

And others like to use it with a soft sponge head applicator on it, I thing it's way better in this last way. This one from the photograph comes already with the sponge head, and it comes with several for replacement. Or you can get the sponge head and put it on the tip of the brush.
I hope this can be helpful to you when you'll be making some graphite drawings with shades.