Practice and blending is key. What program are you using to draw? Most drawing programs come with blending and smudging options (SAI's blending tools are particularly impressive).
One thing that helps is to do shading on a separate layer, below the lineart (at least for when you're shading skin). Study light sources, and where it's proper to add shading for certain situations. Common areas for shading are:
Below the hair line
Along the bridge of the nose (with the bridge having lighting, but it depends on the situation)
Below the neck
Used to show ruffles in shirts and clothing
Here are a few shading guides that you can use for characters and backgrounds:
And of course, don't be afraid to draw actual backgrounds in your panels where they're appropriate! Grey tones and shading works for some situation, but not all. And find some blending tools to use for whatever software it is you're using to draw (: There's also cel-shading, which might work even better for the style you're going for (cel-shading looks like this and this, notice there's no blending, it's just hard shading; you can find lots of comics that use cel-shading, such as Kerot).
Good luck!