For this piece: http://www.furaffinity.net/view/24892853/

I just use a default pencil with a minimum size of 85% for my lines, no variety in density, just size.
Here's what I use to paint though. I just use a series of overlays.
1. pick your lightest light (usually a near-white color, use yellow if natural light, or something else for a different mood)
2. pick your darkest dark (pick something very saturated for interesting and slight painterly look, as well as darker than you think is necessary - usually a deep blue/indigo)
3. use this brush, fill in lighting. This brush works more effectively with heavy use of color picking for mid tones rather than "natural" blending. I prefer this, personally.
4. set this layer as shade OR multiply, both work effectively for base lighting. Adjust opacity until satisfactory. I like more intense; 60-100%
5. new layer, pick some general light color, and some general dark saturated color, do the same as above but far more loose and instead use light to highlight points of interest, or just a general loose gradient in a direction that only follows incredibly loose logic of your previous layer's lighting.
6. set that layer as overlay. Adjust opacity until satisfactory. I like more subtle; 20-50%
7. if the mood is off, it seems too dark, etc. either consider - 1. adding more layers using similar effects (a VERY low opacity luminosity or screen layer with a light color can fix something that's a bit too dark, I'm talking like, 1-5%) or 2. use the filter tab to adjust those overlay layers' hue/saturation and brightness/contrast.

Note: there's more complexity to all of these things that I can't explain unless you like, pay me to make a video or something lmao (kidding, I don't want to). I'm still learning these things too. Either way, this is a good way to go about shading. I do more traditional shading using the main colors with this same brush sometimes too, but yeah, if this brush isn't satisfactory, here's a couple suggestions:
1. if it seems too thick and not blending enough either a. lower the density and/or b. increase the blending and/or c. adjust hardness/softness and how much pressure is needed to get max density.
2. if you don't have the textures I have, I can't provide those for you, but do some digging online for similar ones. The most important thing is the blending and not the brush shape, but basically find a "flat" brush shape and a splotchy texture to assist in blending (set it very low so it doesn't interfere with the actual texture of what's being painted)