Well, here's what I know about pastels. And bare in mind, I've really only used pastels in class, and that was quite a while ago, but I remember it being really easy to get into.
There are a couple of different types. Soft pastels and hard pastels are sort of chalky and powdery. Personally I've never used pastel pencils very much, but I do know they can be used with hard and soft pastels. So if you lay down a big section of color with your soft pastel you can go in with your pastel pencil to add detail, but you can also just use them on their own.
Then there are oil pastels which are more... oily. XP They tend to have a sort of waxy quality, and there's no powder with them. The oil pastels are a little like oil paint, except in pastel form, of course. They don't mix well with the other types of pastel, so keep that in mind.
(I personally have only really used soft and hard pastels. I played around with some oil pastels once, hated them and never picked them up again. XP)
The most important thing to remember is: pastel smudges! XD And as far as I know pastel pencils aren't much different. So like ιηƒιηιтє. said you'll want to get your sketch laid in lightly with a regular old pencil or colored pencil first. That way when you start laying down the pastel and it starts moving around you don't have to worry about losing your sketch.
The way I was taught was you're not allowed to use fingers until you're an expert! as beginners tend to overdo the blending. But I say if you're just doing it on your own for fun, blend away! XP If your drawings do come out smudgy though, chances are you're overdoing it. Don't forget - there's nothing wrong with unblended strokes! There's a certain energy that raw strokes - whether charcoal, pastel, or paint - lend to a painting. So don't be afraid to leave some strokes unblended. Personally I think raw marks work really well on top of blended strokes, especially for say highlights. But that might just be taste.
And I think ιηƒιηιтє. covered everything else far better then I could. XP And alas, I do not use Colored Pencils so I can't help much there.