I, myself use a variety of different pencils from the beginning of a drawing to the end. I always start with a non-photo blue pencil to build the image. Some artists use a red lead. Either is fine as long as it is different from your final lead. That way you can distinguish the different lines. A mechanical pencil works best for fine lines and small details. I use an F lead but also an HB lead sometimes. They are both about the same level of darkness for line making.
For shading, I recommend using good old fashioned wood pencils. I prefer Faber-Castell (unpaid advertisement). I rarely use H leads (like the infamous 2H pencil from school). I stay in the B range. The graphite shows up well and they are easily erased.