Hold your pencil nearly horizontal to your paper, laying it flat as you shade, instead of using the point. This will help you achieve a more blended look.
Lay a piece of paper in between your hand and the drawing. This helps prevent smudges on your drawing.
Use a vinyl eraser if you smudge the drawing unintentionally. Vinyl erasers get rid of pencil lines completely while not damaging your paper.
Use a strong light source. This will emphasize the contrast between highlights and shadows.