Colored pencils are my personal favorite medium for coloring, but the number one technique you need is care. You must remember that most colored pencils are not as fine as normal lead pencils - they are fragile, make thicker, fainter lines, and pieces of the tip may flake off or break quite easily. Good ones can be pretty expensive.
If you are using the pencils for line art, resist the urge to do everything in black. I used to do it as a little kid and I know this will whittle your black pencil down to nothing, and you may need it later. Use the colors of the objects you're drawing, a bit firmer than normal. I prefer to do lineart in regular lead pencil, then ink over it with a black gel pen before coloring.
When coloring in line art, colored pencils are excellent for shading. Fill in the main blocks of color first and foremost; you may need to go over them in several layers because colored pencils almost always leave some white spots at first. Shading requires firmer pressing around parts of the image where shadows will appear, but be careful the points aren't too sharp or they will snap off.
In general, you don't need to worry much about keeping colored pencils very sharp unless you're coloring very small details.